predict-methods {fGarch}R Documentation

GARCH Prediction Function

Description

Predicts a time series from a fitted GARCH object.

Usage

## S4 method for signature 'fGARCH':
predict(object, n.ahead = 10, trace = FALSE, ...)

Arguments

n.ahead an integer value, denoting the number of steps to be forecasted, by default 10.
object an object of class fGARCH as returned by the function garchFit.
trace a logical flag. Should the prediction process be traced? By default trace=FALSE.
... additional arguments to be passed.

Value

returns a data frame with the foloowing columns: "meanForecast", meanError, and "standardDeviation".
The number of records equals the number of forecasting steps n.ahead.

Methods

object = "ANY"
Generic function.
object = "fGARCH"
Predict function for objects of class "fGARCH".

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

Examples

## garchFit - 
   # Parameter Estimation of Default GARCH(1,1) Model:
   fit = garchFit(~ garch(1, 1), data = garchSim(), trace = FALSE)
   fit

## predict -
   predict(fit, n.ahead = 10)

[Package fGarch version 280.75 Index]