yhIterate {miscFuncs}

yhIterate function

Description

A function to perform forecasting of the series, used by fcastGARCH

Usage

yhIterate(i, current, pars, eps, omega)

Arguments

i

the index of the forward lags

current

current matrix of (y,h)

pars

parameters for the GARCH model, these would come from an MCMC run

eps

matrix of Gaussian noise, dimension equal to number of MCMC iterations by the number of forecast lags

omega

matrix of Inverse Gamma noise, dimension equal to number of MCMC iterations by the number of forecast lags

Value

two column matrix containing forecast y (1st column) and updated h (2nd column)