r的dprl包中filter函数怎么用
发布网友
发布时间：2022-05-05 11:51
共1个回答
热心网友
时间：2022-06-10 19:40
就是1-step ahead rolling forecast ,
你可以自行试试,的确是如此.
It does not "arrive at updated parameter estimates". The
ugarchfilter method simply "filters" the new dataset with the existing
estimated parameters to generate an "updated" conditional mean and
variance. It is exactly like performing a 1-step ahead rolling forecast
(since the filter generates t+1|t..)
