First of all, thank you for this great package! I've started delving into DCC models, and one feature I'd love to see is to be able to predict a multi-variate model using time-steps different from just next-period. One potential implementation can be found in section 3.3 of Factor Models for Portfolio Selection in Large Dimensions.
I'd imagine the API would look very similar to the predict implementation for univariate models, e.g. predict(model, :covariance, 3) for a three-period prediction.
Hi,
First of all, thank you for this great package! I've started delving into DCC models, and one feature I'd love to see is to be able to
predicta multi-variate model using time-steps different from just next-period. One potential implementation can be found in section 3.3 of Factor Models for Portfolio Selection in Large Dimensions.I'd imagine the API would look very similar to the
predictimplementation for univariate models, e.g.predict(model, :covariance, 3)for a three-period prediction.