rmgarch (version 1.4-2)

gogarchfilter-methods: function: GO-GARCH Filter

Description

Method for filtering the GO-GARCH model.

Usage

gogarchfilter(fit, data, out.sample = 0, n.old = NULL, cluster = NULL, ...)

Value

A goGARCHfilter object containing details of the GO-GARCH filter.

Arguments

fit

A GO-GARCH fit object of class goGARCHfit.

data

A multivariate data object. Can be a matrix or data.frame or timeSeries.

out.sample

A positive integer indicating the number of periods before the last to keep for out of sample forecasting.

n.old

For comparison with goGARCHfit models using the out.sample argument, this is the length of the original dataset.

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).

...

.

Author

Alexios Galanos

Examples

if (FALSE) {
data(dji30ret)
spec = gogarchspec()
fit = gogarchfit(spec = spec, data = dji30ret[,1:4], gfun = "tanh")
filter = gogarchfilter(fit, data = dji30ret[,1:4])
}