predict {GARCH.X}R Documentation

Predict GARCHX future time series values

Description

Predicts values for GARCHX model

Usage

predict(model, X, n_pred)

Arguments

model

GARCHX object

X

Exogenous covariates for predictions

n_pred

Number of predictions into the future

Value

Vector of predicted time series data

References

Francq, C. and Thieu, L.Q.(2018). QML Inference for Volatility Models with Covariates. Econometric Theory, Cambridge University Press

Examples

set.seed(123)
pi <- c(1, 0, 0, 4)
n <- 2000
d <- length(pi)
valinit <- 100
n2 <- n + d + 1
omega <- 0.1
alpha <- 0.2
beta <- 0.3
delta <- 2
e<-rnorm(n2+valinit)
Y<-e
for (t in 2:n2)
 Y[t]<- 0.2*Y[t-1]+e[t]
x<-exp(Y)
X <- matrix(0, nrow = (n+valinit), ncol = length(pi))
for(j in 1:d)
 X[, j] <- x[(d+2-j):(n+d+1-j+valinit)]
data <- GARCH.X::simulate(n, omega, alpha, beta, delta, X, pi, valinit = valinit)
model <- GARCHX_select(eps = data$eps, X = data$X)
n_pred = 10
test.X <- data$X[(n-n_pred+1):n, ]
predictions <- predict(model = model, X = test.X, n_pred = n_pred)


[Package GARCH.X version 1.0 Index]