predict.GARCH.Rd
This function predicts variance of error terms in time series based on a trained GARCH model, i.e. a fitted "hanaml.GARCH" object.
# S3 method for GARCH
predict(model, n.ahead = NULL)
R6Class object
A "GARCH" object for prediction.
integer, optional
Specifies the number of steps of future volatility to be forecasted.
Defaults to 1.
Named list of DataFrames
variance: Forecast values of future volatility(variance).
stats: Related statistics.
Assuming gh
is a fitted "hanaml.GARCH" object:
> res <- predict(gh, n.ahead = 3)
> res$variance
STEP VARIANCE RESIDUAL
1 1 1.415806 NA
2 2 1.633979 NA
3 3 1.865262 NA