Rolling Window FIGARCH Forecast

版本 1.0.0.0 (5.1 KB) 作者: Sarunas Girdenas
This code uses rolling window FIGARCH model estimates to compute forecasts.
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更新时间 2014/4/3

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In this code we use rolling window FIGARCH estimates obtained from other software to compute rolling window forecast. The results is a matrix of rolling window forecasts as showed in the screenshot, where number of curves is number of rolling windows and the x axis is length of the forecast. Simply speaking, in each time period we compute n periods ahead forecast using the estimate (obtained using other software).

引用格式

Sarunas Girdenas (2026). Rolling Window FIGARCH Forecast (https://ww2.mathworks.cn/matlabcentral/fileexchange/46122-rolling-window-figarch-forecast), MATLAB Central File Exchange. 检索时间: .

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版本 已发布 发行说明
1.0.0.0