SebRollen
src/univariatearchmodel.jl
changed.
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test/runtests.jl
has changed.
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@@ -215,16 +215,13 @@
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| 215 | 215 | zt = residuals(am) |
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| 216 | 216 | at = residuals(am, standardized=false) |
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| 217 | 217 | themean = T(0) |
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| 218 | - | if horizon > 1 && what == :VaR |
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| 219 | - | error("Predicting VaR more than one period ahead is not implemented. Consider predicting one period ahead and scaling by `sqrt(horizon)`.") |
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| 220 | - | end |
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| 221 | - | for t = length(am.data) .+ (1 : horizon) |
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| 222 | - | if what == :return || what == :VaR |
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| 223 | - | themean = mean(at, ht, lht, am.data, am.meanspec, am.meanspec.coefs, t) |
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| 224 | - | end |
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| 218 | + | data = copy(am.data) |
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| 219 | + | for t = length(data) .+ (1 : horizon) |
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| 220 | + | themean = mean(at, ht, lht, data, am.meanspec, am.meanspec.coefs, t) |
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| 225 | 221 | update!(ht, lht, zt, at, VS, am.spec.coefs) |
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| 226 | 222 | push!(zt, 0.) |
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| 227 | 223 | push!(at, 0.) |
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| 224 | + | push!(data, themean) |
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| 228 | 225 | end |
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| 229 | 226 | if what == :return |
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| 230 | 227 | return themean |
| Files | Coverage |
|---|---|
| src | 99.55% |
| Project Totals (12 files) | 99.55% |
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