Usage
multifilter(multifitORspec, data = NULL, out.sample = 0, n.old = NULL,
parallel = FALSE, parallel.control = list(pkg = c("multicore", "snowfall"),
cores = 2), ...)Arguments
multifitORspec
Either a univariate GARCH or ARFIMA multiple fit object of class
uGARCHmultifit and ARFIMAmultifit, or
alternatively a univariate GARCH or ARFIMA multiple specification obj
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.
out.sample
A positive integer indicating the number of periods before the last to keep for
out of sample forecasting (as in ugarchfit function). n.old
For comparison with uGARCHfit or ARFIMAfit models using the out.sample argument,
this is the length of the original dataset (see details).
parallel
Whether to make use of parallel processing on multicore systems.
parallel.control
The parallel control options including the type of package for performing the
parallel calculations (multicore for non-windows O/S and snowfall
for all O/S), and the number of cores to make use of.