ARFIMAroll-class {rugarch} | R Documentation |
class: ARFIMA Rolling Forecast Class
Description
Class for the ARFIMA rolling forecast.
Slots
forecast
:Object of class
"vector"
model
:Object of class
"vector"
Extends
Class "ARFIMA"
, directly.
Class "rGARCH"
, by class "ARFIMA", distance 2.
Methods
- as.data.frame
signature(x = "ARFIMAroll")
: extracts various values from object (see note).- resume
signature(object = "ARFIMAroll")
: Resumes a rolling backtest which has non-converged windows using alternative solver and control parameters.- fpm
signature(object = "ARFIMAroll")
: Forecast performance measures.- coef
signature(object = "ARFIMAroll")
: Extracts the list of coefficients for each estimated window in the rolling backtest.- report
signature(object = "ARFIMAroll")
: roll backtest reports (see note).- show
signature(object = "ARFIMAroll")
: Summary.
Note
The as.data.frame
extractor method allows the extraction of either the
conditional forecast density or the VaR. It takes additional argument
which
with valid values either “density” or “VaR”.
The coef
method will return a list of the coefficients and their robust
standard errors (assuming the keep.coef argument was set to TRUE in the
ugarchroll function), and the ending date of each estimation window.
The report
method takes the following additional arguments:
1.type for the report type. Valid values are “VaR” for the VaR
report based on the unconditional and conditional coverage tests for exceedances
(discussed below) and “fpm” for forecast performance measures.
2.VaR.alpha (for the VaR backtest report) is the tail probability and
defaults to 0.01.
3.conf.level the confidence level upon which the conditional coverage
hypothesis test will be based on (defaults to 0.95).
Kupiec's unconditional coverage test looks at whether the amount of expected
versus actual exceedances given the tail probability of VaR actually occur as
predicted, while the conditional coverage test of Christoffersen is a joint test
of the unconditional coverage and the independence of the exceedances. Both the
joint and the separate unconditional test are reported since it is always
possible that the joint test passes while failing either the independence or
unconditional coverage test.
The fpm
method (separately from report) takes additional logical argument
summary, which when TRUE will return the mean squared error (MSE),
mean absolute error (MAE) and directional accuracy of the forecast versus
realized returns. When FALSE, it will return a data.frame of the time series
of squared (SE) errors, absolute errors (AE), directional hits (HITS), and a
VaR Loss function described in Gonzalez-Rivera, Lee, and Mishra (2004)
for each coverage level where it was calculated. This can then be compared, with
the VaR loss of competing models using such tests as the model confidence set
(MCS) of Hansen, Lunde and Nason (2011).
Author(s)
Alexios Ghalanos