gjrsk_fcst {GARCHSK}

This function forcasts conditional mean,variance,skewness and kurtosis with given GJRSK model.

Description

This function forcasts conditional mean,variance,skewness and kurtosis with given GJRSK model.

Usage

gjrsk_fcst(params, data, max_forecast = 20)

Arguments

params

vector of GJRSK model parameters(p1,const2,p2,q2,r2,const3,p3,q3,r3,const4,p4,q4,r4)

data

vector time series data

max_forecast

how long does this function forecast(Default value is 20)

Value

list of predicted conditional mean,variance,skewness and kurtosis