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GAS (version 0.3.4.1)

uGASRoll: Class for the univariate GAS rolling object

Description

Class for the univariate GAS rolling object.

Arguments

Objects from the Class

A virtual Class: No objects may be created from it.

Slots

Forecast:

Object of class list. Contains forecasts:

  • PointForecast: matrix with parameters forecasts.

  • Moments: matrix with centered moments forecasts.

  • vLS: numeric Log Score (Predictive Log Likelihood).

  • vU: numeric Out-of-sample Probability Integral Transformation (PIT).

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Info:

list with forecast information.

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Data:

list with original data.

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Testing:

Statistical tests results.

Methods

  • show signature(object = 'uGASRoll'): Show summary.

  • plot signature(x = 'uGASRoll', y = 'missing'): Plot forecasted quantities.

  • getForecast signature(object = 'uGASRoll'): Extract parameters forecast.

  • getObs signature(object = 'uGASRoll'): Extract original observations.

  • pit signature(object = 'uGASRoll'): Extract Probability Integral Transformation, only if Roll = TRUE

  • quantile signature(object = 'uGASRoll'): Extract quantile forecasts. It accepts the addional argument probs representing the vector of probabilities.

  • ES signature(object = 'uGASRoll'): Extract Expected Shortfall forecasts. It accepts the addional argument probs representing the vector of probabilities.

  • getMoments signature(object = 'uGASRoll'): Extract moments forecasts.

  • LogScore signature(object = 'uGASRoll'): Extract Log Scores.

  • residuals signature(object = 'uGASRoll'): Extract the forecast errors. Also accepts the additional logical argument standardize. If standardize = TRUE, forecast errors are standardized by the forecast standard deviation. By default standardize = FALSE.

  • coef signature(object = 'uGASFit'): Returns a matrix of estimated coefficients. Each row of the matrix corresponds to a refit of the model during the forecast period according to the RefitEvery argument provided in the UniGASRoll function. Also accepts the additional logical argument do.list. If do.list = TRUE, estimated coefficients are organized in a list of lists according according to the RefitEvery argument provided in the UniGASRoll function. Each list is populated by three arguments: vKappa the intercept vector, mA the A system matrix, mB the B system matrix. By default, do.list = FALSE.

Author

Leopoldo Catania