Description Objects from the Class Extends Methods Note Author(s) See Also Examples
Class for the univariate GARCH forecast.
A virtual Class: No objects may be created from it.
Class GARCHforecast
, directly.
Class rGARCH
, by class GARCHforecast
, distance 2.
signature(x = "uGARCHforecast")
:
extracts the forecast array with matrix column dimensions equal to
the n.ahead value and row dimension 2 (sigma and series forecast), and
array dimension equal to the number of rolling forecasts chosen.
signature(x = "uGARCHforecast")
:
extracts the forecasts. Takes many additional arguments (see note below).
signature(x = "uGARCHforecast")
: extracts the forecast list
with all rollframes.
signature(x = "uGARCHforecast", y = "missing")
:
forecast plots with n.roll
optional argument indicating the
rolling sequence to plot.
signature(object = "uGARCHforecast")
:
forecast summary returning the 0-roll frame only.
There are 3 main extractor functions for the uGARCHforecast object which is admittedly the
most complex in the package as a result of allowing for rolling forecasts. The as.array
extracts an array object where each page of the array represents a roll. The as.list
method
works similarly returns instead a list object. There are no additional arguments to these
extractor functions and they will return all the forecasts. The as.data.frame
method
on the other hand provides for 5 additional arguments. The argument which
indicates the type
of forecast value to return(with valid valued being “sigma” and “series”). The
rollframe
option is for the rolling frame to return (with 0 being the default no-roll) and
allows either a valid numeric value or alternatively the character value “all” for which
additional options then come into play. When “all” is chosen in the rollframe
argument,
the data.frame returned may be time aligned (logical option aligned
) in which case the
logical option prepad
indicates whether to pad the values prior to the forecast start
time with actual values or NA (value FALSE
). Finally, the type
option controls
whether to return all forecasts (value 0, default), return only those forecasts which have
in sample equivalent data (value 1) or return only those values which are truly forecasts
without in sample data (value 2). Depending on the intended usage of the forecasts, some or all
these options may be useful to the user when extracting data from the forecast object.
The plot method takes additional arguments which
and n.roll
indicating which
roll frame to plot.
Alexios Ghalanos
Classes uGARCHfit
, uGARCHsim
and
uGARCHspec
.
1 2 3 4 5 6 7 8 9 10 11 | ## Not run:
# Basic GARCH(1,1) Spec
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec)
forc = ugarchforecast(fit, n.ahead=20)
forc
head(as.data.frame(forc))
#plot(forc, which = "all")
## End(Not run)
|
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