Skip to content

Instantly share code, notes, and snippets.

@quantra-go-algo

quantra-go-algo/estimate_model_and_forecast_return.R

Created August 28, 2024 19:54
Show Gist options
  • Save quantra-go-algo/7d1e065a15642ed4f439d3a8d8d90d87 to your computer and use it in GitHub Desktop.
Save quantra-go-algo/7d1e065a15642ed4f439d3a8d8d90d87 to your computer and use it in GitHub Desktop.
Download ZIP
Raw
estimate_model_and_forecast_return.R
# Set the seed to estimate the TVP-VAR-SV model
set.seed(2024)
# Estimate the TVP-VAR-SV model
bv <- bvar.sv.tvp(tvp_var_data, tau= 250, nf=1, nrep = 300, nburn=20)
# Obtain the forecasts of the model based on the mean of the posterior-distribution draws
forecast_ys <- rowMeans(bv$fc.ydraws[1:7,1,])
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment