Displaying 2 results from an estimated 2 matches for "focast".
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2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...gt; dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec)
),
dccOrder = c(1,1), distribution = "mvnorm")
> fit.a = dccfit(dcc.garch11.spec, data = datax[,c(2,3)], out.sample = 500,
fit.control = list(eval.se=T))
> dcc.focast=dccforecast(fit.a, n.ahead = 1, n.roll = 499)
May I know how to get the forecast values from 'dcc.focast' ? I have given
500 as n.roll in rolling forecast. I mean where to find this 500 forecast
values? Any help is much appreciated as I am new to GARCH model.
Also when i plot the forecas...
2017 Jun 07
0
Getting forecast values using DCC GARCH fit
...gt; dcc.garch11.spec = dccspec(uspec = multispec( replicate(2, garch11.spec)
),
dccOrder = c(1,1), distribution = "mvnorm")
> fit.a = dccfit(dcc.garch11.spec, data = datax[,c(2,3)], out.sample = 100,
fit.control = list(eval.se=T))
> dcc.focast=dccforecast(fit.a, n.ahead = 100)
May I know how to get the forecast values from 'dcc.focast' ? when i plot
the model using,
> plot(dcc.focast, which = 1)
I get different plots such as.
Make a plot selection (or 0 to exit):
1: Conditional Mean (vs Realized Returns)
2: Conditional...