WaveletGARCH (version 0.1.0)

WaveletGARCHFore: Forecasting by Wavelet-GARCH model

Description

Forecasting of Wavelet-GARCH model based on ARCH LM test.

Usage

WaveletGARCHFore(series,filtern,level,nofore)

Arguments

series

univariate time series

filtern

The name of wavelet filter

level

The level of wavelet decomposition

nofore

The lead period of forecast

Value

forecastobject

The forecasted values of the series by Waveetl-GARCH model

References

Percival D. B. and Walden A. T. 2000. Wavelet Methods for Time-Series Analysis. Cambridge Univ. Press, U.K.

Paul R. K., Prajneshu and Ghosh H. 2013. Wavelet Frequency Domain Approach for Modelling and Forecasting of Indian Monsoon Rainfall Time-Series Data. Journal of the Indian society of agricultural statistics, 67, 319 to 327.

Paul, R.K. and Birthal, P.S. 2015. Investigating rainfall trend over India using wavelet technique. Journal of Water and Climate Change, 7, 365 to 378.

Paul, R. K. 2015. ARIMAX-GARCH-WAVELET Model for forecasting volatile data. Model Assisted Statistics and Application, 10, 243 to252.

Examples

# NOT RUN {
data(mtcars)
ab<-mtcars$qsec

objfore<-WaveletGARCHFore(ab,"d4",4,10)

# }