fitted_marginals: Accessor method for the fitted marginal models of...

In portvine: Vine Based (Un)Conditional Portfolio Risk Measure Estimation

Accessor method for the fitted marginal models of ⁠(cond_)portvine_roll⁠ objects

Description

Extract the marginal models that are ARMA-GARCH models which were fitted in a rolling window fashion using rugarch::ugarchroll. For the residual analysis of the models encompassed in such a rugarch::ugarchroll class object one can have a look at the utility function roll_residuals().

Usage

fitted_marginals(roll, ...)

## S4 method for signature 'portvine_roll'
fitted_marginals(roll)

Arguments

roll	Object of class portvine_roll or a child class
...	Additional parameters for child class methods

Value

Named list with an entry for each asset containing a rugarch::ugarchroll class object that encompasses the marginal model fit.

See Also

portvine_roll, roll_residuals()

portvine documentation built on May 29, 2024, 2:27 a.m.