[R] r - Forecast model

Stephen Donnelly sdonnelly758 at qub.ac.uk
Wed Oct 2 12:41:43 CEST 2013

```Hi All,

I'm currently completing my MSc dissertation, using R to build a realised
volatility model using HAR.

There is a great guide on using high frequency in R which has been
invaluable to me. I was wondering though if you could all help with one
issue?

I've successfully achieved page 16 example in this pdf:
http://cran.r-project.org/web/packages/highfrequency/highfrequency.pdf

However, I would like to forecast the model into the future for a few
periods. So far I have had no success and it doesn't seem to let me forecast
harmodel like an ar model.

Do you have any suggestions? I thought it would be relatively easy to extend
the forecast that takes place in the example you already provided.

Thanks very much, Stephen Donnelly

P.S:

rm(list=ls(all=TRUE))
library("highfrequency")

log.ret <- function(x) { y <- diff(log(x)); return(y) }

dates <- x[,1]
times <- x[,2]
values <- as.numeric(x[,3])
times[which(times=="")] <- "00:00:00"

date.n.time <- matrix(NA, NROW(x), 1)
for(i in seq(1, NROW(x), 1)){date.n.time[i,1] <- paste(dates[i], times[i],
sep="     ")}
date.n.time2 <- as.Date(as.character(date.n.time), "%Y-%m-%d %H:%M:%OS")

x <- as.matrix(values); rownames(x) <- date.n.time; colnames(x)
y <- log.ret(x) #5 min log returns
y <- as.xts(y)

setwd("C:/Users/u590799/Documents/QUB/RV/Output")

fname <- "The New Style-Settings-Normalised"
y.out <- harModel(data=y, periods = c(1,5,22),RVest = c("rCov"),
type="HARRV",h=1,     transform=NULL)
capture.output(summary(y.out),file=paste(fname, "out-summary.txt", sep="-"))
pdf(file=paste(fname, "out-plot.pdf", sep="-"), paper="a4r", width=12 ,
height=11.7); plot(y.out); dev.off()

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```