multiforecast-methods {rugarch}

function: Univariate GARCH and ARFIMA Multiple Forecasting

Description

Method for multiple forecasting from a variety of univariate GARCH and ARFIMA models.

Usage

multiforecast(multifitORspec, data = NULL, n.ahead = 1, n.roll = 0, 
out.sample = 0, external.forecasts = list(mregfor = NULL, vregfor = NULL), 
cluster = NULL, ...)

Arguments

multifitORspec

Either a univariate GARCH or ARFIMA multiple fit object uGARCHmultifit and ARFIMAmultifit, or alternatively a univariate GARCH or ARFIMA multiple specification object of class uGARCHmultispec and ARFIMAmultispec with valid parameters supplied via the setfixed<- function in the individual specifications.

data

Required if a multiple specification rather than a multiple fit object is supplied. A multivariate data object. Can be a matrix or data.frame object, no other class supported at present.

n.ahead

The forecast horizon.

n.roll

The no. of rolling forecasts to create beyond the first one.

out.sample

Optional. If a specification object is supplied, indicates how many data points to keep for out of sample testing. If this is not a vector equal to the column dimension of the data, then it will be replicated to that dimension, else it must be of same length as the data column dimension.

external.forecasts

A list with forecasts for the external regressors in the mean and/or variance equations if specified.

cluster

A cluster object created by calling makeCluster from the parallel package. If it is not NULL, then this will be used for parallel estimation of the refits (remember to stop the cluster on completion).

...

.

Value

A uGARCHmultiforecast or ARFIMAmultiforecast object containing details of the multiple GARCH or ARFIMA forecasts. See the class for details.

Author(s)

Alexios Ghalanos