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MFE garch tool box

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jenka
jenka 2017 年 1 月 4 日
コメント済み: Walter Roberson 2019 年 8 月 31 日
I have a quick question regarding garch MFE tool box. It has a function called arma_forecaster. I am using this code to test the functionality of the toolbox. I am not sure I understand it. It requires an integer R (R=500 in my case). Which is the length of sample used in estimation. It then produces the vector yhaph of size 1000x1 with first 500 observations listed as NA. The rest are predicted values. It then also asks for forecast horizon H (H=10) in my case. So should not be yhaph be of size 1010x1 as 500 observational estimation plus 10 observations for forecast? Thank you:
if true
% code
T=1000;ph1=.9;constant=1;ARorder=1; predict_lag = 10;
y=armaxfilter_simulate(T,constant,ARorder,ph1);
[param,LL,errors]=armaxfilter(y(1:500),1,1,0);
[yhaph,yhat,forer,ystd]=arma_forecaster(y,param,1,1,[],500,predict_lag);
end
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Walter Roberson
Walter Roberson 2019 年 8 月 31 日

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