Usage
gogarchroll(spec, data, n.ahead = 1, forecast.length = 50, n.start = NULL,
refit.every = 25, refit.window = c("recursive", "moving"), window.size = NULL,
solver = "solnp", solver.control = list(), fit.control = list(), rseed = NULL,
cluster = NULL, save.fit = FALSE, save.wdir = NULL, ...)Arguments
spec
A GO-GARCH spec object of class goGARCHspec.
data
A multivariate data object. Can be a matrix or data.frame or timeSeries.
n.ahead
The forecast horizon (only 1-ahead supported for rolling forecasts).
forecast.length
The length of the total forecast for which out of sample data from the dataset
will be excluded for testing.
n.start
Instead of forecast.length, this determines the starting
point in the dataset from which to initialize the rolling forecast.
refit.every
Determines every how many periods the model is re-estimated.
refit.window
Whether the refit is done on an expanding window including all the previous data
or a moving window where all previous data is used for the first estimation
and then moved by a length equal to refit.every (unless the window.size option
is used inste
window.size
If not NULL, determines the size of the moving window in the rolling estimation,
which also determines the first point used.
fit.control
Control parameters parameters passed to the fitting function.
solver.control
Control parameters passed to the solver.
rseed
Initialization seed for first ICA fit. The rest of the ICA fits are initialized
with the previous mixing matrix (using A.init).
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).
save.fit
Whether to save the fitted objects of class goGARCHfit
during the estimation of each (refit.every). If true, the directory to
save must be provided (see below). The function will not save this b
save.wdir
If save.fit is true, the directory in which to save the
goGARCHfit objects (1 for each refit.every).