yhIterate

A function to perform forecasting of the series, used by fcastGARCH

Implementing various things including functions for LaTeX tables,
the Kalman filter, QQ-plots with simulation-based confidence intervals, linear regression diagnostics, web scraping, development tools, relative risk and odds
rati, GARCH(1,1) Forecasting.

Benjamin Taylor

miscFuncs

Miscellaneous Useful Functions Including LaTeX Tables, Kalman
Filtering, QQplots with Simulation-Based Confidence Intervals,
Linear Regression Diagnostics and Development Tools

yhIterate function

<dl><dt>i</dt>
<dd>the index of the forward lags</dd>
<dt>current</dt>
<dd>current matrix of (y,h)</dd>
<dt>pars</dt>
<dd>parameters for the GARCH model, these would come from an MCMC run</dd>
<dt>eps</dt>
<dd>matrix of Gaussian noise, dimension equal to number of MCMC iterations by the number of forecast lags</dd>
<dt>omega</dt>
<dd>matrix of Inverse Gamma noise, dimension equal to number of MCMC iterations by the number of forecast lags</dd></dl>

Arguments

yhIterate function — yhIterate

<dl>

<dt>i</dt>
<dd>the index of the forward lags</dd>


<dt>current</dt>
<dd>current matrix of (y,h)</dd>


<dt>pars</dt>
<dd>parameters for the GARCH model, these would come from an MCMC run</dd>


<dt>eps</dt>
<dd>matrix of Gaussian noise, dimension equal to number of MCMC iterations by the number of forecast lags</dd>


<dt>omega</dt>
<dd>matrix of Inverse Gamma noise, dimension equal to number of MCMC iterations by the number of forecast lags</dd>

</dl>

yhIterate: yhIterate function

Description

Usage

Value

Arguments