sigma: Extract Fitted Conditional Standard Deviations

In fEGarch: SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions

Extract Fitted Conditional Standard Deviations

Description

An alternative to sigt,fEGarch_fit-method to extract fitted conditional standard deviations from an estimation object in this package.

Usage

## S4 method for signature 'fEGarch_fit'
sigma(object)

## S4 method for signature 'fEGarch_forecast'
sigma(object)

Arguments

object

an object either of class "fEGarch_fit" or "fEGarch_forecast".

Details

Extract fitted conditional standard deviations from an estimation object in this package.

Value

The element within the input object with name sigt is returned. Depending on the element that can be a numeric vector, an object of class "zoo" or a numeric matrix.

Examples

window.zoo <- get("window.zoo", envir = asNamespace("zoo"))
rt <- window.zoo(SP500, end = "2002-12-31")
model <- fEGarch(egarch_spec(), rt, n_test = 250)
sigma(model)

fEGarch documentation built on Sept. 11, 2025, 5:11 p.m.