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src/univariatearchmodel.jl
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test/runtests.jl
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@@ -205,9 +205,11 @@
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| 205 | 205 | ||
| 206 | 206 | """ |
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| 207 | 207 | predict(am::UnivariateARCHModel, what=:volatility; level=0.01, horizon=1) |
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| 208 | - | Form a 1-step ahead prediction from `am`. `what` controls which object is predicted. |
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| 208 | + | Form a `horizon`-step ahead prediction from `am`. `what` controls which object is predicted. |
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| 209 | 209 | The choices are `:volatility` (the default), `:variance`, `:return`, and `:VaR`. The VaR |
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| 210 | 210 | level can be controlled with the keyword argument `level`. |
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| 211 | + | ||
| 212 | + | For `what=:VaR`, only a `horizon = 1` horizon is currently supported. |
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| 211 | 213 | """ |
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| 212 | 214 | function predict(am::UnivariateARCHModel{T, VS, SD}, what=:volatility, horizon=1; level=0.01) where {T, VS, SD, MS} |
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| 213 | 215 | ht = volatilities(am).^2 |
@@ -218,13 +220,15 @@
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| 218 | 220 | if horizon > 1 && what == :VaR |
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| 219 | 221 | 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 | 222 | end |
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| 221 | - | for t = length(am.data) .+ (1 : horizon) |
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| 223 | + | data = copy(am.data) |
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| 224 | + | for t = length(data) .+ (1 : horizon) |
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| 222 | 225 | if what == :return || what == :VaR |
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| 223 | 226 | themean = mean(at, ht, lht, am.data, am.meanspec, am.meanspec.coefs, t) |
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| 224 | 227 | end |
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| 225 | 228 | update!(ht, lht, zt, at, VS, am.spec.coefs) |
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| 226 | 229 | push!(zt, 0.) |
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| 227 | 230 | push!(at, 0.) |
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| 231 | + | push!(data, themean) |
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| 228 | 232 | end |
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| 229 | 233 | if what == :return |
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| 230 | 234 | return themean |
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Commits
| Files | Coverage |
|---|---|
| src | +<.01% 99.55% |
| Project Totals (12 files) | 99.55% |
77e5741623b99843b4c14b9f8fa7999ffe60ab2ae0