predict-methods {fGarch} | R Documentation |
Predicts a time series from a fitted GARCH object.
## S4 method for signature 'fGARCH': predict(object, n.ahead = 10, trace = FALSE, ...)
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. |
returns a data frame with the foloowing columns:
"meanForecast"
, meanError
, and "standardDeviation"
.
The number of records equals the number of forecasting steps
n.ahead
.
"fGARCH"
.
Diethelm Wuertz for the Rmetrics R-port.
## 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)