svForecastControlCreate#

Purpose#

Create an svForecastControl structure with default values for SV-BVAR density forecasting.

Format#

ctl = svForecastControlCreate()#

Returns:

ctl (struct) –

An instance of an svForecastControl structure with the following default values:

ctl.h

Scalar, forecast horizon. Default = 12.

ctl.mode

String, forecast mode.

`"mean_path"`	Deterministic h-path using posterior mean innovations. Fast but underestimates forecast variance (Jensen’s inequality). (Default)
`"simulate"`	Draw innovation paths from the SV-implied time-varying covariance. Gives proper predictive density.

ctl.n_paths

Scalar, number of simulation paths per posterior draw ("simulate" mode only). Default = 100.

ctl.quantile_levels

Vector, quantile levels to report. Default = 0.05|0.16|0.50|0.84|0.95.

ctl.h_init

String, log-volatility initialization for forecasting.

`"stochastic"`	Draw h_T from the reservoir. Captures h_T uncertainty. (Default)
`"posterior_mean"`	Use posterior mean h_T. Faster, underestimates tails.

ctl.store_draws

Scalar, 1 to store raw forecast draws in dfc.draws, 0 to discard. Default = 0.

ctl.seed

Scalar, RNG seed for simulation mode. Default = 42.

Examples#

new;
library timeseries;

fctl = svForecastControlCreate();

// Switch to simulation mode for proper density
fctl.mode = "simulate";
fctl.n_paths = 500;

// Custom quantiles for risk management
fctl.quantile_levels = 0.01|0.05|0.50|0.95|0.99;

// Use with bvarSvForecast
dfc = bvarSvForecast(result, 12, fctl);

Library#

timeseries

Source#

forecast.src