Predicts factor and idiosyncratic log-volatilities h
predh simulates from the posterior predictive distribution
of the latent log-variances h, both for factors as well as for
idiosyncratic series.
predh(x, ahead = 1, each = 1)
x |
Object of class |
ahead |
Vector of timepoints, indicating how many steps to predict ahead. |
each |
Single integer (or coercible to such) indicating how often should be drawn from the posterior predictive distribution for each draw that has been stored during MCMC sampling. |
List of class fsvpredh containing two elements:
idihArray containing the draws of the latent idiosyncratic log-volatilities.
factorhArray containing the draws of the latent factor log-volatilities.
Other predictors:
predcond(),
predcor(),
predcov(),
predloglikWB(),
predloglik(),
predprecWB()
set.seed(1) sim <- fsvsim(series = 3, factors = 1) # simulate res <- fsvsample(sim$y, factors = 1) # estimate # Predict 1, 10, and 100 days ahead: predobj <- predh(res, ahead = c(1, 10, 100)) # Trace plot of draws from posterior predictive factor log-variance # (one, ten, and 100 days ahead): plot.ts(predobj$factorh[1,,]) # Smoothed kernel density estimates of predicted volas: plot(density(exp(predobj$factorh[1,,"1"]/2), adjust = 2)) lines(density(exp(predobj$factorh[1,,"10"]/2), adjust = 2), col = 2) lines(density(exp(predobj$factorh[1,,"100"]/2), adjust = 2), col = 3)
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