mse {LFUrmutils} | R Documentation |
Computes the mean squared error for various models.
mse(object, ...) ## S3 method for class 'UnivVola' mse(object, ...) ## S3 method for class 'MultiEWMA' mse(object, ...) ## S3 method for class 'fGARCH' mse(object, ...)
object |
An object of class |
... |
Arguments passed to methods (unused at the moment). |
MSE of the corresponding model.
Bernhard Eder
Jorion (2007). Value at Risk, 3rd. McGraw-Hill. New York.
# Load returns data("CRSPday_zoo") y <- CRSPday_zoo # Compute univariate volatility model ma <- UnivVola(y[, 1], type = "MovingAverage", center = TRUE) # Compute MSE mse(ma)