在R中,我有一个时间序列对象(ts)
library(rugarch)
library(TSA)
observations <- read.csv("financial_data.csv", header = TRUE)
start = c(1999, as.numeric(format(as.Date("1999-05-19"), "%j")))
end = c(2003, as.numeric(format(as.Date("2003-10-04"), "%j")))
ts.obj <- ts(observations, start=start, end=end, frequency=365) # daily observations
model.spec <- rugarch:::ugarchspec(
variance.model = list(
model = "sGARCH",
garchOrder = c(1, 1),
submodel = NULL,
external.regressors = NULL,
variance.targeting = FALSE),
mean.model = list(
armaOrder = c(1, 1),
include.mean = FALSE,
external.regressors = NULL),
distribution.model = "norm"
)
model.fit <- rugarch:::ugarchfit(spec=model.spec,
data=ts.obj, # the ts object
solver.control = list(trace=0))
forc = rugarch:::ugarchforecast(model.fit, n.ahead = 10)
rugarch:::plot(forc)
当我将此时间序列传递给 rugarch ::: ugarchfit 函数时,时间轴从1970-01-01开始,而不是1999-05-19,因此预测时间轴似乎在过去发生了偏移以及错误的年份,月份和日期。
如何将原始日期保留在预测图中?