| multiforecast-methods {rugarch} | R Documentation |
Method for multiple forecasting from a variety of univariate GARCH and ARFIMA models.
multiforecast(multifitORspec, data = NULL, n.ahead = 1, n.roll = 0,
out.sample = 0,
external.forecasts = list(mregfor = NULL, vregfor = NULL), parallel = FALSE,
parallel.control = list(pkg = c("multicore", "snowfall"), cores = 2), ...)
multifitORspec |
Either a univariate GARCH or ARFIMA multiple fit object |
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. |
parallel |
Whether to make use of parallel processing on multicore systems. |
parallel.control |
The parallel control options including the type of package for performing the parallel calculations (‘multicore’ for non-windows O/S and ‘snowfall’ for all O/S), and the number of cores to make use of. |
... |
. |
A uGARCHmultiforecast or ARFIMAmultiforecast
object containing details of the multiple GARCH or ARFIMA forecasts. See the
class for details.
Alexios Ghalanos