Method for multiple forecasting from a variety of univariate GARCH and ARFIMA models.
multiforecast(multifitORspec, data = NULL, n.ahead = 1, n.roll = 0,
out.sample = 0, external.forecasts = list(mregfor = NULL, vregfor = NULL),
cluster = NULL, ...)Either a univariate GARCH or ARFIMA multiple fit object '>uGARCHmultifit
and '>ARFIMAmultifit, or alternatively a univariate GARCH or
ARFIMA multiple specification object of class '>uGARCHmultispec
and '>ARFIMAmultispec with valid parameters supplied via the
setfixed<- function in the individual specifications.
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.
The forecast horizon.
The no. of rolling forecasts to create beyond the first one.
Optional. If a specification object is supplied, indicates how many data points to keep for out of sample testing. If this is not a vector equal to the column dimension of the data, then it will be replicated to that dimension, else it must be of same length as the data column dimension.
A list with forecasts for the external regressors in the mean and/or variance equations if specified.
A cluster object created by calling makeCluster from the parallel
package. If it is not NULL, then this will be used for parallel estimation
of the refits (remember to stop the cluster on completion).
.
A '>uGARCHmultiforecast or '>ARFIMAmultiforecast
object containing details of the multiple GARCH or ARFIMA forecasts. See the
class for details.