uGARCHpath-class: class: Univariate GARCH Path Simulation Class

Description Objects from the Class Extends Methods Note Author(s) See Also


Class for the univariate GARCH Path simulation.

Objects from the Class

A virtual Class: No objects may be created from it.


Class "uGARCHpath", directly. Class "rGARCH", by class "GARCHpath", distance 2.



signature(object = "uGARCHpath"): Extracts the conditional sigma simulated values as a matrix of size n.sim x m.sim.


signature(object = "uGARCHpath"): Extracts the conditional mean simulated values as a matrix of size n.sim x m.sim.


signature(x = "uGARCHpath"): Calculates and returns, given a scalar for the probability (additional argument “probs”), the conditional quantile of the simulated object as an n.sim by m.sim matrix (with the same type of headings as the sigma and fitted methods).


signature(x = "uGARCHpath", y = "missing"): path simulation plots.


signature(object = "uGARCHpath"): path simulation summary.


The sigma and fitted methods are used to extract the matrix of simulated conditional sigma and mean values. The method is globally deprecated as an extractor method in rugarch with the exception of a few classes which still makes sense to use them.


Alexios Ghalanos

See Also

Classes uGARCHsim, uGARCHfit and uGARCHspec.

rugarch documentation built on May 29, 2017, 10:39 a.m.

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