ExtractStateFit: Single-regime model extractor.

In MSGARCH: Markov-Switching GARCH Models

Single-regime model extractor.

Description

Extracts each regime from a fitted multiple regime specificaton and creates a fitted object for each extracted regime.

Usage

ExtractStateFit(object)

## S3 method for class 'MSGARCH_ML_FIT'
ExtractStateFit(object)

## S3 method for class 'MSGARCH_MCMC_FIT'
ExtractStateFit(object)

Arguments

object

Fit object of type MSGARCH_ML_FIT created with FitML or MSGARCH_MCMC_FIT created with FitMCMC.

Value

A list of K elements where each element is a fit object of type MSGARCH_ML_FIT or MSGARCH_MCMC_FIT.

Examples

# create model specification
spec <- CreateSpec()

# load data
data("SMI", package = "MSGARCH")

# fit the model on the data with ML estimation
fit <- FitML(spec = spec, data = SMI)
SR.fit <- ExtractStateFit(fit)
print(SR.fit)

MSGARCH documentation built on Dec. 6, 2022, 1:06 a.m.