Usage
multiforecast(multifitORspec, data = NULL, n.ahead = 1, n.roll = 0,
out.sample = 0, external.forecasts = list(mregfor = NULL, vregfor = NULL),
cluster = NULL, ...)
Arguments
multifitORspec
Either a univariate GARCH or ARFIMA multiple fit object uGARCHmultifit
and ARFIMAmultifit, or alternatively a univariate GARCH or
ARFIMA multiple specification object of c
data
Required if a multiple specification rather than a multiple fit object is
supplied. A multivariate data object. Can be a matrix or data.frame object, no
other class supported at present.
n.ahead
The forecast horizon.
n.roll
The no. of rolling forecasts to create beyond the first one.
out.sample
Optional. If a specification object is supplied, indicates how many data points
to keep for out of sample testing. If this is not a vector equal to the column
dimension of the data, then it will be replicated to that dimension, else it must
be of sam
external.forecasts
A list with forecasts for the external regressors in the mean and/or variance
equations if specified.
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
of the refits (remember to stop the cluster on completion).