MultiGASRoll {GAS} | R Documentation |
Rolling forecast with multivariate GAS models
Description
One-step ahead rolling forecasts with model re-estimation. The function also reports several quantity for backtesting for point and density forecasts.
Usage
MultiGASRoll(data, GASSpec, ForecastLength = 500, Nstart = NULL,
RefitEvery = 23, RefitWindow = c("moving", "recursive"),
cluster = NULL, Compute.SE = FALSE, ...)
Arguments
data |
|
GASSpec |
An object of the class mGASSpec created using the function MultiGASSpec |
ForecastLength |
|
Nstart |
|
RefitEvery |
|
RefitWindow |
|
cluster |
A |
Compute.SE |
|
... |
Additional arguments for MultiGASFit |
Value
An object of the class mGASRoll
Author(s)
Leopoldo Catania
Examples
## Not run:
# Specify a GAS model with Multivariate Student-t conditional
# distribution and time-varying scale and correlation parameters
# stock returns Forecast
data("StockIndices")
mY = StockIndices[, 1:2]
# Specification mvt
GASSpec = MultiGASSpec(Dist = "mvt", ScalingType = "Identity",
GASPar = list(location = FALSE, scale = TRUE,
correlation = TRUE, shape = FALSE))
# Perform 1-step ahead rolling forecast with refit
library(parallel)
Roll = MultiGASRoll(mY, GASSpec, ForecastLength = 250,
RefitEvery = 100, RefitWindow = c("moving"))
Roll
## End(Not run)