rugarch (version 1.0-3)

ForwardDates-methods: function: Generate Future Dates

Description

Given a starting date, this helper function generates a set of future dates (excl.weekends) for use in forecasting and simulation when using external regressors.

Usage

ForwardDates(Dates, n.ahead, date.format, periodicity = "days")

Arguments

Dates

A character vector of dates. The last date is used as the starting date for the forward date creation.

n.ahead

The number of dates to generate forward.

date.format

The format of the dates e.g. %Y-%m-%d" .

periodicity

Currently only days is supported.

Value

• A POSIXct vector of future dates.

Examples

data(sp500ret)
Dates = rownames(sp500ret)
# generate the 100 forward non-weekend days
fwd100 = ForwardDates(Dates, n.ahead=100, date.format = "%Y-%m-%d", 
periodicity = "days")
# create a dummy vector for those forward days which are Mondays
fwdMonday = WeekDayDummy(as.character(fwd100), date.format = "%Y-%m-%d", 
weekday = "Monday")