fGARCH-class | R Documentation |
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 the mean and variance equations.
method
:Object of class "character"
:
a string denoting the optimization method, by default
"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 (raw, unstandardized) 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 (h_t =
\sigma_t^\delta
).
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.
signature(x = "fGARCH", y = "missing")
:
plots an object of class "fGARCH"
.
signature(object = "fGARCH")
:
prints an object of class "fGARCH"
.
signature(object = "fGARCH")
:
summarizes an object of class "fGARCH"
.
signature(object = "fGARCH")
:
forecasts mean and volatility from an object of class "fGARCH"
.
signature(object = "fGARCH")
:
extracts fitted values from an object of class "fGARCH"
.
signature(object = "fGARCH")
:
extracts fresiduals from an object of class "fGARCH"
.
signature(object = "fGARCH")
:
extracts conditional volatility from an object of class "fGARCH"
.
signature(object = "fGARCH")
:
extracts fitted coefficients from an object of class "fGARCH"
.
signature(x = "fGARCH")
:
extracts formula expression from an object of class "fGARCH"
.
Diethelm Wuertz and Rmetrics Core Team
garchFit
,
garchSpec
,
garchFitControl
## simulate a time series, fit a GARCH(1,1) model, and show it:
x <- garchSim( garchSpec(), n = 500)
fit <- garchFit(~ garch(1, 1), data = x, trace = FALSE)
fit # == print(fit) and also == show(fit)
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