predict.HEAVYmodel

Calculates forecasts for \(h_{T+k}\), where \(T\) denotes the end of the estimation
period for fitting the HEAVYmodel and \(k = 1, \dots, \code{stepsAhead}\).

Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, detect price jumps and investigate microstructure noise and intraday
periodicity. A detailed vignette can be found in the open-access paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

predict.HEAVYmodel function

<dl><dt>object</dt>
<dd>an object of class HEAVYmodel.</dd>
<dt>stepsAhead</dt>
<dd>the number of days iterative forecasts are calculated for (default 10).</dd>
<dt>...</dt>
<dd>further arguments passed to or from other methods.</dd></dl>

Arguments

Iterative multi-step-ahead forecasting for HEAVY models — predict.HEAVYmodel

<dl>

<dt>object</dt>
<dd>an object of class HEAVYmodel.</dd>


<dt>stepsAhead</dt>
<dd>the number of days iterative forecasts are calculated for (default 10).</dd>


<dt>...</dt>
<dd>further arguments passed to or from other methods.</dd>

</dl>

predict.HEAVYmodel: Iterative multi-step-ahead forecasting for HEAVY models

Description

Usage

Arguments