ANY MODEL+GARCH(1, 1) forecasting — agnosticgarchf • ahead

ANY MODEL+GARCH(1, 1) forecasting

agnosticgarchf(
  y,
  h = 5,
  level = 95,
  FUN = forecast::auto.arima,
  seed = 123,
  ...
)

Arguments

y: a univariate time series
h: number of periods for forecasting
level: confidence level for prediction intervals
FUN: forecasting function for the main model; default ahead::dynrmf
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 ANYMODEL+GARCH(1, 1)

Author

T. Moudiki

Examples


y <- datasets::EuStockMarkets[ , "DAX"]

# require(forecast)
# z <- ahead::agnosticgarchf(y=y, h=20)
# plot(z)