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Multi-step forecast error #84

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azev77 opened this issue Feb 11, 2021 · 1 comment

Contributor

azev77 commented Feb 11, 2021 •

edited

Multi-step forecasts (for returns etc) were implemented in #61
The following works

using ARCHModels;

BG96
am = fit(GARCH{1, 1}, BG96)
predict.(am, :volatility, 1:3)
predict.(am, :return, 1:3)

am = fit(ARCH{0}, BG96)
predict.(am, :volatility, 1:3)
predict.(am, :return, 1:3)

am = fit(ARCH{0}, BG96, meanspec=ARMA{12,0})
predict.(am, :volatility, 1:3)

I get the following errors:

julia> predict.(am, :return, 1:3)
ERROR: BoundsError: attempt to access 1974-element Array{Float64,1} at index [1975]

Contributor Author

azev77 commented Feb 11, 2021

@SebRollen's PR #83 fixes this

s-broda closed this as completed in

77e5741

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