class-fGARCH: Class "fGARCH"
In fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

fGARCH-class

R Documentation

Class "fGARCH"

Description

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

Objects from the Class

Objects can be created by calls of the function garchFit. This object is a parameter estimate of an empirical GARCH process.

Slots

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.

Methods

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".

Author(s)

Diethelm Wuertz and Rmetrics Core Team

Examples

## 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)

fGarch documentation built on May 29, 2024, 8:30 a.m.