ARMA(1, 1)-GARCH(1, 1) forecasting (with simulation) — armagarchf • ahead

ARMA(1, 1)-GARCH(1, 1) forecasting (with simulation)

armagarchf(
  y,
  h = 5,
  level = 95,
  B = 250,
  cl = 1L,
  dist = c("student", "gaussian"),
  seed = 123
)

Arguments

y: a univariate time series
h: number of periods for forecasting
level: confidence level for prediction intervals
B: number of simulations for arima.sim
cl: an integer; the number of clusters for parallel execution
dist: distribution of innovations ("student" or "gaussian")
seed: reproducibility seed

Value

An object of class "forecast"; a list containing the following elements:

model: A list containing information about the fitted model
method: The name of the forecasting method as a character string
mean: Point forecasts for the time series
lower: Lower bound for prediction interval
upper: Upper bound for prediction interval
x: The original time series
sims: Simulations of ARMA(1, 1)-GARCH(1, 1)

Author

T. Moudiki

Examples


y <- datasets::EuStockMarkets[ , "DAX"]
log_returns <- ts(log(y[-1]/y[-length(y)]))

# require(forecast)
# z <- ahead::armagarchf(y=log_returns, h=200)
# plot(z)