VARMApred function

VARMA Prediction

Compute forecasts and their associate forecast error covariances of a VARMA model

VARMApred(model, h = 1, orig = 0)

Arguments

• model: A fitted VARMA model
• h: Number of steps of forecasts, i.e., forecast horizon.
• orig: Forecast origin. Default is the end of the sample.

Returns

• pred: Predictions

• se.err: Standard errors of forecasts

• orig: Forecast origin

References

Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay