Forecast VARMAX model responses
FY = vgxpred(Spec,FT) [FY,FYCov] = vgxpred(Spec,FT,FX,Y,W,NumPaths)
vgxpred
returns the transient
response of a process during a forecast period with zero-valued innovations.
To generate a process during a forecast period with simulated innovations,
use vgxsim
. To generate a process
during a forecast period with known innovations, use vgxproc
.
Spec | A multivariate time series specification structure for
an n-dimensional VARMA time series process, as
created by |
FT | Number of forecast observations to be generated. |
FX | nP paths of forecast regression design
matrices associated with |
Y | Presample time series process from the estimation period
used for the forecast period. |
W | Presample innovations process from the estimation period
used for the forecast period. |
NumPaths | Number of paths to forecast. To generate multiple paths,
you must use |
FY | Forecast times-series process. |
FYCov | Forecast error covariance matrices. |