ARFIMAdistribution-class: class: ARFIMA Parameter Distribution Class

In rugarch: Univariate GARCH Models

class: ARFIMA Parameter Distribution Class

Description

Class for the ARFIMA Parameter Distribution, objects of which are created by calling function arfimadistribution.

Slots

dist:

Object of class "vector" Details of fitted parameters.

truecoef:

Object of class "matrix" The actual coefficients.

model:

Object of class "list" The model specification.

Extends

Class "ARFIMA", directly. Class "rGARCH", by class "ARFIMA", distance 2.

Methods

as.data.frame

signature(x = "ARFIMAdistribution"): extracts various values from object (see note).

show

signature(object = "ARFIMAdistribution"): parameter distribution summary.

Note

The as.data.frame function takes optionally 2 additional arguments, namely window which indicates the particular distribution window number for which data is required (is usually just 1 unless the recursive option was used), and which indicating the type of data required. Valid values for the latter are “rmse” for the root mean squared error between simulation fit and actual parameters, “stats” for various statistics computed for the simulations such as log likelihood, persistence, unconditional variance and mean, “coef” for the estimated coefficients (i.e. the parameter distribution and is the default choice), and “coefse” for the estimated robust standard errors of the coefficients (i.e. the parameter standard error distribution).

Author(s)

Alexios Ghalanos

rugarch documentation built on Sept. 20, 2023, 9:07 a.m.