| Title: | Fit the Wavelet-GARCH Model to Volatile Time Series Data |
|---|---|
| Description: | Fits the combination of Wavelet-GARCH model for time series forecasting using algorithm by Paul (2015) <doi:10.3233/MAS-150328>. |
| Authors: | Dr. Ranjit Kumar Paul, Sandipan Samanta and Ankit Tanwar |
| Maintainer: | Dr. Ranjit Kumar Paul <[email protected]> |
| License: | GPL |
| Version: | 0.1.1 |
| Built: | 2025-02-08 04:22:58 UTC |
| Source: | https://github.com/cran/WaveletGARCH |
class to store results of auto.arima
showClass("autoarima")showClass("autoarima")
Fitting of Wavelet-GARCH model based on ARCH LM test.
WaveletGARCHFit(series,filtern,level) ## S3 method for class 'WaveletGARCHFit' print(x,...)WaveletGARCHFit(series,filtern,level) ## S3 method for class 'WaveletGARCHFit' print(x,...)
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 |
fittedobject |
The fitted value of the series by Waveetl-GARCH model |
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.
data(mtcars) ab<-mtcars$qsec objfit<-WaveletGARCHFit(ab,"d4",4)data(mtcars) ab<-mtcars$qsec objfit<-WaveletGARCHFit(ab,"d4",4)
Forecasting of Wavelet-GARCH model based on ARCH LM test.
WaveletGARCHFore(series,filtern,level,nofore) ## S3 method for class 'WaveletGARCHFore' print(x,...)WaveletGARCHFore(series,filtern,level,nofore) ## S3 method for class 'WaveletGARCHFore' print(x,...)
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 |
forecastobject |
The forecasted values of the series by Waveetl-GARCH model |
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.
data(mtcars) ab<-mtcars$qsec objfore<-WaveletGARCHFore(ab,"d4",4,10)data(mtcars) ab<-mtcars$qsec objfore<-WaveletGARCHFore(ab,"d4",4,10)