MultiGASRoll function

Rolling forecast with multivariate GAS models

One-step ahead rolling forecasts with model re-estimation. The function also reports several quantity for backtesting for point and density forecasts.

MultiGASRoll(data, GASSpec, ForecastLength = 500, Nstart = NULL,
             RefitEvery = 23, RefitWindow = c("moving", "recursive"),
             cluster = NULL, Compute.SE = FALSE, ...)

Arguments

• data: matrix of dimension (T + ForecastLength) x N containing the time series of observations.

• GASSpec: An object of the class mGASSpec created using the function MultiGASSpec

• ForecastLength: numeric Length of the out of sample

• Nstart: numeric Period when perform the first forecast. Ignored if ForecastLength is supplied.

• RefitEvery: numeric Number of periods before model coefficients re-estimation.

• RefitWindow: character Type of window. If RefitWindow = "recursive" all the observations are used when the model is re-estimated. If RefitWindow = "moving" old observations are eliminated.

• cluster: A cluster object created calling using the paralell package. If supplied parallel processing is used to speed up the computations.

• Compute.SE: logical. Should asymptotic Standard Errors be computed? By default Compute.SE = FALSE

• ``: Additional arguments for MultiGASFit

Returns

An object of the class mGASRoll

Author(s)

Leopoldo Catania

Examples

## Not run:

# Specify a GAS model with Multivariate Student-t conditional
# distribution and time-varying scale and correlation parameters

# stock returns Forecast

data("StockIndices")

mY = StockIndices[, 1:2]

# Specification mvt
GASSpec = MultiGASSpec(Dist = "mvt", ScalingType = "Identity",
                       GASPar = list(location = FALSE, scale = TRUE,
                                     correlation = TRUE, shape = FALSE))

# Perform 1-step ahead rolling forecast with refit
library(parallel)

Roll = MultiGASRoll(mY, GASSpec, ForecastLength = 250,
                       RefitEvery = 100, RefitWindow = c("moving"))

Roll
## End(Not run)