Class for the univariate GAS forecast object.
A virtual Class: No objects may be created from it.
Forecast:Object of class list. Contains forecasts:
PointForecast: matrix with parameters forecasts.
Moments: matrix with centered moments forecasts.
vLS: numeric Log Score (Predictive Log Likelihood).
vU: numeric Out-of-sample Probability Integral Transformation (PIT).
Bands:array with confidence bands parameters forecasts. Available only if Roll = TRUE.
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Draws:If ReturnsDraws = TRUE it is a iH x iB matrix of draws from the predictive distribution.
Info:list with forecast information.
Data:list with original data.
show signature(object = 'uGASFor'): Show summary.
plot signature(x = 'uGASFor', y = 'missing'): Plot forecasted quantities.
getForecast signature(object = 'uGASFor'): Extract parameters forecast.
getObs signature(object = 'uGASFor'): Extract original observations.
pit signature(object = 'uGASFor'): Extract Probability Integral Transformation, only if Roll = TRUE.
quantile signature(object = 'uGASFor'): Extract quantile forecasts. For multistep ahead prediction ES is computed by simulation and ReturnsDraws = TRUE should have been selected. It accepts the additional argument probs representing the vector of probabilities.
ES signature(object = 'uGASFor'): Extract Expected Shortfall forecasts. For multistep ahead prediction ES is computed by simulation and ReturnsDraws = TRUE should have been selected. It accepts the additional argument probs representing the vector of probabilities.
getMoments signature(object = 'uGASFor'): Extract moments forecasts.
LogScore signature(object = 'uGASFor'): Extract Log Scores.
Leopoldo Catania