uGARCHsim-class: class: Univariate GARCH Simulation Class

In rugarch: Univariate GARCH Models

class: Univariate GARCH Simulation Class

Description

Class for the univariate GARCH simulation.

Extends

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

Slots

simulation:

Object of class "vector" Holds data on the simulation.

model:

Object of class "vector" The model specification common to all objects.

seed:

Object of class "integer" The random seed used.

Methods

sigma

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

fitted

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

quantile

signature(object = "uGARCHsim", probs="numeric"): 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).

plot

signature(x = "uGARCHsim", y = "missing"): Simulation plots.

show

signature(object = "uGARCHsim"): Simulation summary.

Note

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

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHforecast, uGARCHfit and uGARCHspec.

Examples

## Not run: 
# Basic GARCH(1,1) Spec
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec)
sim = ugarchsim(fit,n.sim=1000, n.start=1, m.sim=1, startMethod="sample")
sim
head(sigma(sim))

## End(Not run)

rugarch documentation built on Sept. 30, 2024, 9:30 a.m.