rugarch (version 1.4-2)

uGARCHforecast-class: class: Univariate GARCH Forecast Class

Description

Class for the univariate GARCH forecast.

Objects from the Class

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

Extends

Class '>GARCHforecast, directly. Class '>rGARCH, by class '>GARCHforecast, distance 2.

Methods

sigma

signature(x = "uGARCHforecast"): The n.ahead by n.roll+1 matrix of conditional sigma forecasts. The column names are the T[0] dates.

fitted

signature(x = "uGARCHforecast"): The n.ahead by n.roll+1 matrix of conditional mean forecasts. The column names are the T[0] dates.

quantile

signature(x = "uGARCHforecast"): Calculates and returns, given a scalar for the probability (additional argument “probs”), the conditional quantile of the forecast object as an n.ahead by n.roll+1 matrix (with the same type of headings as the sigma and fitted methods).

plot

signature(x = "uGARCHforecast", y = "missing"): Forecast plots with n.roll optional argument indicating the rolling sequence to plot.

fpm

signature(object = "uGARCHforecast"): Forecast performance measures.

show

signature(object = "uGARCHforecast"): Forecast summary returning the 0-roll frame only.

See Also

Classes '>uGARCHfit, '>uGARCHsim and '>uGARCHspec.

Examples

# NOT RUN {
# Basic GARCH(1,1) Spec
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec, out.sample = 100)
forc1 = ugarchforecast(fit, n.ahead=100, n.roll = 100)
forc
#plot(forc, which = "all")
# }