One-step-ahead conditional quantile forecast.
Usage
get_forecast(y_vec, caviar_list)
Arguments
- y_vec
Numeric vector of returns
- caviar_list
Output from caviar
Value
A list with components:
- q_alpha
Quantile level
- caviar_quantiles
Vector of fitted quantiles
- step_1
One-step-ahead forecast
Examples
# \donttest{
data(gerlach)
fit <- caviar(gerlach[, "USD"], nsim = 1000)
#>
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| | 0%
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|======================================================================| 100%
forecast <- get_forecast(gerlach[, "USD"], fit)
# }