शुरू करेंमुफ़्त में शुरू करें

Horse race

You are now asked to run a horse race in terms of forecasting accuracy between the two approaches for making rolling GARCH model predictions:

  • garchroll: AR(1) standard GARCH model and student \(t\) distribution
  • gjrgarchroll: AR(1) GJR GARCH model and skewed student \(t\) distribution.

The rolling estimations are implemented using n.start = 2500, refit.window = "moving", refit.every = 500.

The resulting ugarchroll objects are available in the console.

यह अभ्यास पाठ्यक्रम का हिस्सा है

GARCH Models in R

पाठ्यक्रम देखें

इंटरैक्टिव व्यावहारिक अभ्यास

इस अभ्यास को इस नमूना कोड को पूरा करके आज़माएँ।

# Inspect the first three rows of the dataframe with out of sample predictions
garchpreds <- as.data.frame(garchroll)
head(garchpreds, ___)
कोड संपादित करें और चलाएँ