Description Objects from the Class Slots Methods Author(s)

The class fGARCH represents a model of an heteroskedastic time series process.

Objects can be created by calls of the function `garchFit`

.
This object is a parameter estimate of an empirical GARCH process.

`call`

:Object of class

`"call"`

: the call of the`garch`

function.`formula`

:Object of class

`"formula"`

: a formula object specifying mean and variance equation.`method`

:Object of class

`"character"`

: a string denoting the optimization method, by default the returneds string is "Max Log-Likelihood Estimation".`data`

:Object of class

`"list"`

: a list with one entry named`x`

, containing the data of the time series to be estimated, the same as given by the input argument`series`

.`fit`

:Object of class

`"list"`

: a list with the results from the parameter estimation. The entries of the list depend on the selected algorithm, see below.`residuals`

:Object of class

`"numeric"`

: a numeric vector with the residual values.`fitted`

:Object of class

`"numeric"`

: a numeric vector with the fitted 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 title string.`description`

:Object of class

`"character"`

: a string with a brief description.

- plot
`signature(x = "fGARCH", y = "missing")`

: plots an object of class 'fGARCH'.- show
`signature(object = "fGARCH")`

: prints an object of class 'fGARCH'.- summary
`signature(object = "fGARCH")`

: summarizes an object of class 'fGARCH'.- predict
`signature(object = "fGARCH")`

: forecasts mean and volatility from an object of class 'fGARCH'.- fitted
`signature(object = "fGARCH")`

: extracts fitted values from an object of class 'fGARCH'.- residuals
`signature(object = "fGARCH")`

: extracts fresiduals from an object of class 'fGARCH'.- volatility
`signature(object = "fGARCH")`

: extracts conditional volatility from an object of class 'fGARCH'.- coef
`signature(object = "fGARCH")`

: extracts fitted coefficients from an object of class 'fGARCH'.- formula
`signature(x = "fGARCH")`

: extracts formula expression from an object of class 'fGARCH'.

Diethelm Wuertz and Rmetrics Core Team.

fGarch documentation built on Nov. 17, 2017, 5:09 a.m.

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