rmgarch (version 1.2-9)

gogarchforecast-methods: function: GO-GARCH Forecast

Description

Method for forecasting from the GO-GARCH model.

Usage

gogarchforecast(fit, n.ahead = 10, n.roll = 0, 
external.forecasts = list(mregfor = NULL), cluster = NULL, ...)

Arguments

fit

A GO-GARCH fit object of class goGARCHfit.

n.ahead

The forecast horizon.

n.roll

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

external.forecasts

A list with a matrix object of the external lagged forecasts (if used). These must contain (n.roll+1) x n.ahead forecasts.

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 (remember to stop the cluster on completion).

...

.

Value

• A goGARCHforecast object containing details of the GO-GARCH forecast.

Examples

data(dji30ret)
spec = gogarchspec()
fit = gogarchfit(spec = spec, data = dji30ret[,1:4], out.sample = 10, 
gfun = "tanh")
forecast = gogarchforecast(fit, n.ahead = 1, n.roll = 9)