Predict future returns and future volatilities — predict.stochvolTMB • stochvolTMB

Takes a stochvolTMB object and produces draws from the predictive distribution of the latent volatility and future log-returns.

Usage

# S3 method for class 'stochvolTMB'
predict(object, steps = 1L, nsim = 10000, include_parameters = TRUE, ...)

Arguments

object: A stochvolTMB object returned from estimate_parameters.
steps: Integer specifying number of steps to predict.
nsim: Number of draws from the predictive distribution.
include_parameters: Logical value indicating if fixed parameters should be simulated from their asymptotic distribution, i.e. multivariate normal with inverse hessian as covariance matrix.
...: Not is use.

Value

List of simulated values from the predictive distribution of the latent volatilities and log-returns.