uGARCHmultifilter-class: class: Univariate GARCH Multiple Filter Class

Description Extends Methods Author(s) See Also

Description

Class for the univariate GARCH Multiple filter.

Extends

Class "GARCHfilter", directly. Class "rGARCH", by class "GARCHfilter", distance 3.

Methods

fitted

signature(object = "uGARCHmultifilter"): Extracts the fitted values.

residuals

signature(object = "uGARCHmultifilter"): Extracts the residuals. Optional logical argument standardize (default is FALSE) allows to extract the standardized residuals.

sigma

signature(object = "uGARCHmultifilter"): Extracts the conditional sigma values.

coef

signature(object = "uGARCHmultifilter"): Extracts the coefficients.

likelihood

signature(object = "uGARCHmultifilter"): Extracts the likelihood.

show

signature(object = "uGARCHmultifilter"): Filter summary.

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHmultiforecast, uGARCHmultifit and uGARCHmultispec.



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