tvMGarch-class {segMGarch} | R Documentation |
A specification class to create an object of a nonstationary multivariate class model reserved for real (empirical) applications. It inherits from simMGarch
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out_of_sample_prop
Proportion of y to keep for out-of-sample forecasting expressed in %.
out_of_sample_y
The out of sample y matrix reserved for forecasting and backtesting exercises.
in_sample_y
The in-sample y matrix reserved for estimation (calibration) and change-point detection.
Cho, Haeran, and Karolos Korkas. "High-dimensional GARCH process segmentation with an application to Value-at-Risk." arXiv preprint arXiv:1706.01155 (2018).
simObj <- new("simMGarch") simObj@d <- 10 simObj@n <- 1000 simObj@changepoints <- c(250,750) simObj <- pc_cccsim(simObj) empirObj <- new("tvMGarch") #simulated, but treated as a real dataset for illustration empirObj@y <- simObj@y empirObj@out_of_sample_prop <- 0.1 #empirObj=garch.seg(object=empirObj,do.parallel = 4)##Not run