lr2fact {miscFuncs}

lr2fact function

Description

Apply this to the output of fcastGARCH in order to undertake forecasting on the scale of the original series (i.e. not the log returns). Quantiles may be computed across the MCMC iterations and then all one needs to do is to multiply the result by the last observed value in the original series (again, not the log returns)

Usage

lr2fact(mod)

Arguments

mod

the output of fcastGARCH

Value

the multiplicative factors.