Rolling Window FIGARCH Forecast
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).
Cite As
Sarunas Girdenas (2024). Rolling Window FIGARCH Forecast (https://www.mathworks.com/matlabcentral/fileexchange/46122-rolling-window-figarch-forecast), MATLAB Central File Exchange. Retrieved .
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Version | Published | Release Notes | |
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1.0.0.0 |