ARMA(1, 1)-GARCH(1, 1)

ARMA(1, 1)-GARCH(1, 1) model

[source]

ArmaGarch

ahead.ARMAGARCH.ArmaGarch.ArmaGarch(
    h=5, level=95, B=250, cl=1, dist="student", seed=123, date_formatting="original"
)

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

Parameters:

h: an integer;
    forecasting horizon

level: an integer;
    Confidence level for prediction intervals

B: an integer;
    number of simulations for R's `stats::arima.sim`

cl: an integer;
    the number of clusters for parallel execution (done in R /!\)

dist: a string;
    distribution of innovations ("student" or "gaussian")

seed: an integer;
    reproducibility seed

date_formatting: a string;
    Currently:
    - "original": yyyy-mm-dd
    - "ms": milliseconds

Attributes:

fcast_: an object;
    raw result from fitting R's `ahead::armagarchf` through `rpy2`

averages_: a list;
    mean forecast in a list

ranges_: a list;
    lower and upper prediction intervals in a list

output_dates_: a list;
    a list of output dates (associated to forecast)

mean_: a numpy array
    contains series mean forecast as a numpy array

lower_: a numpy array 
    contains series lower bound forecast as a numpy array

upper_: a numpy array 
    contains series upper bound forecast as a numpy array

result_df_: a data frame;
    contains 3 columns, mean forecast, lower + upper
    prediction intervals, and a date index

sims_: a numpy array
    forecasting simulations

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[source]

forecast

ArmaGarch.forecast(df)

Forecasting method from ArmaGarch class

Parameters:

df: a data frame;
    a data frame containing the input time series (see example)

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