predict {BEKKs}

R Documentation

Forecasting conditional volatilities with BEKK models

Description

Method for predicting a N-dimensional BEKK covariances.

Usage

predict(x, n.ahead = 1, ci = 0.95)

Arguments

x	A fitted bekk model of class bekk from the bekk_fit function
n.ahead	Number of periods to forecast conditional volatility. Default is a one-period ahead forecast.
ci	Floating point in [0,1] defining the niveau for confidence bands of the conditional volatility forecast. Default is 95 per cent niveau confidence bands.

Value

Returns a S3 class "bekkForecast" object containing the conditional volatility forecasts and respective confindence bands.

Examples

#'
data(StocksBonds)
obj_spec <- bekk_spec()
x1 <- bekk_fit(obj_spec, StocksBonds, QML_t_ratios = FALSE, max_iter = 50, crit = 1e-9)

x2 <- predict(x1, n.ahead = 1)

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