| Type: | Package |
| Title: | Fit the Wavelet-GARCH Model to Volatile Time Series Data |
| Version: | 0.1.1 |
| Author: | Dr. Ranjit Kumar Paul, Sandipan Samanta and Ankit Tanwar |
| Maintainer: | Dr. Ranjit Kumar Paul <ranjitstat@gmail.com> |
| Description: | Fits the combination of Wavelet-GARCH model for time series forecasting using algorithm by Paul (2015) <doi:10.3233/MAS-150328>. |
| License: | GPL-2 | GPL-3 [expanded from: GPL] |
| Imports: | stats, wavelets, FinTS, forecast, parallel, rugarch, fracdiff, methods |
| LazyData: | TRUE |
| NeedsCompilation: | no |
| Packaged: | 2020-02-29 10:51:18 UTC; ranjitstat |
| Repository: | CRAN |
| Date/Publication: | 2020-02-29 11:10:02 UTC |
Fitting of Wavelet-GARCH model
Description
Fitting of Wavelet-GARCH model based on ARCH LM test.
Usage
WaveletGARCHFit(series,filtern,level)
## S3 method for class 'WaveletGARCHFit'
print(x,...)
Arguments
series |
univariate time series |
filtern |
The name of wavelet filter |
level |
The level of wavelet decomposition |
x |
An object of WaveletGARCHFit |
... |
Additional arguments if any |
Value
fittedobject |
The fitted value of the series by Waveetl-GARCH model |
References
Percival D. B. and Walden A. T. 2000. Wavelet Methods for Time-Series Analysis. Cambridge Univ. Press, U.K.
Paul R. K., Prajneshu and Ghosh H. 2013. Wavelet Frequency Domain Approach for Modelling and Forecasting of Indian Monsoon Rainfall Time-Series Data. Journal of the Indian society of agricultural statistics, 67, 319 to 327.
Paul, R.K. and Birthal, P.S. 2015. Investigating rainfall trend over India using wavelet technique. Journal of Water and Climate Change, 7, 365 to 378.
Paul, R. K. 2015. ARIMAX-GARCH-WAVELET Model for forecasting volatile data. Model Assisted Statistics and Application, 10, 243 to252.
Examples
data(mtcars)
ab<-mtcars$qsec
objfit<-WaveletGARCHFit(ab,"d4",4)
Forecasting by Wavelet-GARCH model
Description
Forecasting of Wavelet-GARCH model based on ARCH LM test.
Usage
WaveletGARCHFore(series,filtern,level,nofore)
## S3 method for class 'WaveletGARCHFore'
print(x,...)
Arguments
series |
univariate time series |
filtern |
The name of wavelet filter |
level |
The level of wavelet decomposition |
nofore |
The lead period of forecast |
x |
An object of WaveletGARCHFore |
... |
Additional arguments if any |
Value
forecastobject |
The forecasted values of the series by Waveetl-GARCH model |
References
Percival D. B. and Walden A. T. 2000. Wavelet Methods for Time-Series Analysis. Cambridge Univ. Press, U.K.
Paul R. K., Prajneshu and Ghosh H. 2013. Wavelet Frequency Domain Approach for Modelling and Forecasting of Indian Monsoon Rainfall Time-Series Data. Journal of the Indian society of agricultural statistics, 67, 319 to 327.
Paul, R.K. and Birthal, P.S. 2015. Investigating rainfall trend over India using wavelet technique. Journal of Water and Climate Change, 7, 365 to 378.
Paul, R. K. 2015. ARIMAX-GARCH-WAVELET Model for forecasting volatile data. Model Assisted Statistics and Application, 10, 243 to252.
Examples
data(mtcars)
ab<-mtcars$qsec
objfore<-WaveletGARCHFore(ab,"d4",4,10)
class:autoarima-result-class
Description
class to store results of auto.arima
Examples
showClass("autoarima")