R/methods-fitted.R

In fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

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# METHOD:                 EXTRACTORS:
#  fitted.fGARCH           S3 fitted values for an object of class 'fGARCH'
################################################################################


setMethod(f = "fitted", signature(object = "fGARCH"), definition =
    function(object)
{
    # A function implemented by Diethelm Wuertz

    # Description:
    #   S3 Fitted values method for an object of class fGARCH

    # Arguments:
    #   object - an object of class fGarch as returned by the function
    #       garchFit

    # FUNCTION:

    ## GNB: this was the previous code (before v4022.90).  Clearly, it assumes
    ##      that 'data' is from class \code{"timeSeries"} and, to return an
    ##      object from the same class, gets 'data' and replaces the data values
    ##      with the fitted ones. ... Except that it doesn't do the latter, so
    ##      returns the data! 
    ##
    ##   # Get numeric vector of fitted, optionally standardized
    ##   fitted = object@fitted
    ##   ## Get original time series class: (!! GNB: Nope, slot 'data' is numeric!)
    ##   ans = slot(object, "data")                                                    
    ##   Name = as.character(object@formula[2])
    ##   attr(ans, "Name") <- Name
    ##   # Return Value:
    ##   ans
    ##
    ## GNB: the following code is in the spirit of the above, assuming that
    ##      'ans' is indeed the original time series. For example (todo?) this
    ##      could be achieved if garchFit sets object@fit$data to the original
    ##      time series, using 'ans <- object@fit$data'. Changing the class of
    ##      slot 'data' instead doesn't seem practical.
    ##   
    ##   fitted <- object@fitted
    ##   if(is(ans, "timeSeries")){
    ##       Name <- as.character(object@formula[2])
    ##       attr(ans, "Name") <- Name
    ##       ans@.Data <- if(is.matrix(fitted)) fitted else matrix(fitted, ncol = 1)
    ##   } else if(inherits(ans, "ts") || is.numeric(ans)) {
    ##       ans[] <- fitted
    ##   } else {
    ##       message(paste0("conversion to class '", class(ans), "' not supported yet,\n",
    ##                      "returning slot fitted asis."))
    ##       ans <- fitted
    ##   }
    ans <- object@fitted
    
    # Return Value:
    ans
})


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