class-GEVSTABLEGARCH: Class '"GEVSTABLEGARCH"'

In GEVStableGarch: ARMA-GARCH/APARCH Models with GEV and Stable Distributions

Description

The class GEVSTABLEGARCH represents an ARMA-GARCH/APARCH model estimated wih function gsFit

Objects from the Class

Objects can be created by calling function gsFit. This object contain the estimated parameters of a time series process.

Slots

call:

Object of class "call": the call of the gsFit function.

formula:

Object of class "formula": a formula object specifying mean and variance equation.

method:

Object of class "character": a string describing the optimization method used to search for the optimum value

convergence:

Object of class "numeric": an integer code. 0 indicates successful convergence of of the estimation method used to perform the optimization of the log-likelihood function. A value different from zero indicates a failure in achieving convergence. Notice that sometimes the optimization algorithm will return a "true" convergence, even when the optimized negative log-likelihood equals to 1e99. In this case, we set the variable convergence to 1 to indicate that convergence was not achieved. In the general case, the variable convergence assumes the same value reported by the internal solver used inside function gsFit. Hence, aditional interpretation of the convergence codes can be made by using the R help of the corresponding optimization routine: solnp ("sqp" and "sqp.restriction" algorithms) or
nlminb ("nlminb" and "nlminb+nm" algorithms).

messages:

Object of class "list": a character string giving additional informations collected during estimation.

data:

Object of class "numeric": a numeric vector containing the data of the time series to be estimated.

fit:

Object of class "list": a list with the results from the parameter estimation.

residuals:

Object of class "numeric": a numeric vector with the residual values.

h.t:

Object of class "numeric": a numeric vector with the conditional variances.

sigma.t:

Object of class "numeric": a numeric vector with the conditional standard deviations.

title:

Object of class "character": a string with the title.

description:

Object of class "character": a string with a description.

Methods

show

signature(object = "GEVSTABLEGARCH"): prints an object of class 'GEVSTABLEGARCH'.

Author(s)

Thiago do Rego Sousa for the latest modifications
Diethelm Wuertz for the original implementation of the fGARCH-class from package fGarch

References

Brockwell, P.J., Davis, R.A. (1996). Introduction to Time Series and Forecasting. Springer, New York.

Wuertz, D., Chalabi, Y., with contribution from Miklovic, M., Boudt, C., Chausse, P., and others (2013). fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling, R package version 3010.82, http://CRAN.R-project.org/package=fGarch.

GEVStableGarch documentation built on May 2, 2019, 5:53 a.m.