MTS: VARMApred – R documentation

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VARMApred

VARMA Prediction

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

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

`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.

`pred`	Predictions
`se.err`	Standard errors of forecasts
`orig`	Forecast origin

Ruey S. Tsay

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

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8