coef.geovol: Extraction functions for a 'geovol' object

In geovol: Geopolitical Volatility (GEOVOL) Modelling

Description

Extraction functions for objects of class 'geovol'.

Usage

  ## S3 method for class 'geovol'
coef(object, as.zoo = TRUE, ...)
  ## S3 method for class 'geovol'
fitted(object, as.zoo = TRUE, ...)
  ## S3 method for class 'geovol'
logLik(object, ...)
  ## S3 method for class 'geovol'
nobs(object, ...)
  ## S3 method for class 'geovol'
print(x, n.extreme = 20, ...)
  ## S3 method for class 'geovol'
residuals(object, as.zoo = TRUE, ...)

Arguments

object	an object of class 'geovol'.
x	an object of class 'geovol'.
as.zoo	logical. If TRUE, then the returned result is of class zoo.
n.extreme	integer indicating the n.extreme most extreme GEOVOL events to be printed.
...	additional arguments.

Value

coef:	numeric vector containing parameter estimates.
fitted:	fitted (squared) GEOVOL time series.
logLik:	log-likelihood (normal density).
nobs:	the number of observations used in the estimation.
print:	print of the estimation results.
residuals:	GEOVOL standardised residuals.

Author(s)

Susana Campos-Martins

References

Engle, R.F. and Campos-Martins, S. (2020) Measuring and hedging geopolitical risk. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3685213.

See Also

geovol, geovolSim, zoo

Examples

set.seed(123)

## Simulate from a GEOVOL model (default):
eSim <- geovolSim(n = 1000,  m = 30)

## Test for GEOVOL
eTest <- geovolTest(e = eSim^2)

## Estimate a GEOVOL model:
geovolEst <- geovol(e = eSim)

## Print estimation results:
print(geovolEst)

## Extract coefficients:
coef(geovolEst)

## Extract and store GEOVOL:
sigma2Est <- fitted(geovolEst)

## Extract optimised log-likelihood values:
logLik(geovolEst)

## Extract and store GEOVOL standardised residuals:
etaEst <- residuals(geovolEst)

geovol documentation built on July 9, 2021, 9:09 a.m.