methods-coef: GARCH coefficients methods

In fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

GARCH coefficients methods

Description

Coefficients methods coef() for GARCH Models.

Methods

Methods for coef defined in package fGarch:

object = "fGARCH"

Extractor function for coefficients from a fitted GARCH model.

object = "fGARCHSPEC"

Extractor function for coefficients from a GARCH specification structure.

Note

coef is a generic function which extracts coefficients from objects returned by modeling functions.

Author(s)

Diethelm Wuertz for the Rmetrics R-port

Examples

## garchSpec -
   # Use default parameters beside alpha:
   spec = garchSpec(model = list(alpha = c(0.05, 0.05)))
   spec
   coef(spec)

## garchSim -
   # Simulate an univariate "timeSeries" series from specification 'spec':
   x = garchSim(spec, n = 2000)
   x = x[,1]

## garchFit --
   fit = garchFit( ~ garch(1, 1), data = x, trace = FALSE)

## coef -
   coef(fit)

fGarch documentation built on Oct. 15, 2023, 5:06 p.m.