stochvol (version 1.3.3)

predict.svdraws: Prediction of Future Log-Volatilities

Description

Simulates draws from the predictive density of the latent log-volatility process.

Usage

# S3 method for svdraws
predict(object, steps = 1, ...)

Arguments

object

svdraws object.

steps

single number, coercible to integer. Denotes the number of steps to forecast.

...

currently ignored.

Value

Returns an object of class c("svpredict", "mcmc") containing simulations from the predictive density of h_(n+1),...,h_(n+steps).

See Also

plot.svdraws, volplot.

Examples

# NOT RUN {
## Simulate a short and highly persistent SV process 
sim <- svsim(100, mu = -10, phi = 0.99, sigma = 0.2)

## Obtain 5000 draws from the sampler (that's not a lot)
draws <- svsample(sim$y, draws = 5000, burnin = 100,
		  priormu = c(-10, 1), priorphi = c(20, 1.5), priorsigma = 0.2)

## Predict 10 days ahead
fore <- predict(draws, 10)

## Check out the results
summary(fore)
plot(draws, forecast = fore)
# }