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#################################################################################
##
## R package rugarch by Alexios Galanos Copyright (C) 2008-2022.
## This file is part of the R package rugarch.
##
## The R package rugarch is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## The R package rugarch is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
#################################################################################
#----------------------------------------------------------------------------------
# Package Highest Level Virtual Class
#----------------------------------------------------------------------------------
setClass("rGARCH","VIRTUAL")
#----------------------------------------------------------------------------------
# univariate spec class
#----------------------------------------------------------------------------------
setClass("GARCHspec", contains = c("rGARCH", "VIRTUAL"))
setClass("uGARCHspec",
representation(model = "vector"),
contains = "GARCHspec")
#----------------------------------------------------------------------------------
# univariate fit class
#----------------------------------------------------------------------------------
setClass("GARCHfit", contains = c("rGARCH", "VIRTUAL"))
setClass("uGARCHfit",
representation(fit = "vector",
model = "vector"),
contains = "GARCHfit")
#----------------------------------------------------------------------------------
# univariate filter class
#----------------------------------------------------------------------------------
setClass("GARCHfilter", contains = c("rGARCH", "VIRTUAL"))
setClass("uGARCHfilter",
representation(filter = "vector",
model = "vector"),
contains = "GARCHfilter")
#----------------------------------------------------------------------------------
# univariate forecast class (extends filter class)
#----------------------------------------------------------------------------------
setClass("GARCHforecast", contains = c("rGARCH", "VIRTUAL"))
setClass("uGARCHforecast",
representation(forecast = "vector",
model = "vector"),
contains = "GARCHforecast")
#----------------------------------------------------------------------------------
# univariate simulation class
#----------------------------------------------------------------------------------
setClass("GARCHsim", contains = c("rGARCH", "VIRTUAL"))
setClass("uGARCHsim",
representation(simulation = "vector",
model = "vector",
seed = "integer"),
contains = "GARCHsim")
#----------------------------------------------------------------------------------
# univariate path simulation class
#----------------------------------------------------------------------------------
setClass("GARCHpath", contains = c("rGARCH", "VIRTUAL"))
setClass("uGARCHpath",
representation(path = "vector",
model = "vector",
seed = "integer"),
contains = "GARCHpath")
#----------------------------------------------------------------------------------
# univariate garch roll class
#----------------------------------------------------------------------------------
setClass("GARCHroll", contains = c("rGARCH", "VIRTUAL"))
setClass("uGARCHroll",
representation(model = "vector",
forecast = "vector"),
contains = "GARCHroll")
#----------------------------------------------------------------------------------
# univariate garch parameter distribution (by simulation)
#----------------------------------------------------------------------------------
setClass("GARCHdistribution", contains = c("rGARCH", "VIRTUAL"))
setClass("uGARCHdistribution",
representation(dist = "vector",
truecoef = "matrix",
model = "vector"),
contains = "GARCHdistribution")
#----------------------------------------------------------------------------------
# univariate garch bootstrap forecast distribution
#----------------------------------------------------------------------------------
setClass("GARCHboot", contains = c("rGARCH", "VIRTUAL"))
setClass("uGARCHboot",
representation(
fseries = "matrix",
fsigma = "matrix",
bcoef = "data.frame",
model = "vector",
forc = "uGARCHforecast"),
contains = "GARCHboot")
#----------------------------------------------------------------------------------
# univariate garch test class
#----------------------------------------------------------------------------------
setClass("GARCHtests", contains = c("rGARCH", "VIRTUAL"))
#----------------------------------------------------------------------------------
# multiple spec/fit/filter/forecast garch methods (used in 2-stage extension multivariate models)
#----------------------------------------------------------------------------------
# Multiple Spec List Class
setClass("uGARCHmultispec",
representation(spec = "vector",
type = "character"))
.validspeclist = function(object){
all(unlist(lapply(object@spec, FUN = function(x) is(x, "uGARCHspec"))))
}
setValidity("uGARCHmultispec", .validspeclist)
# Multiple Fit ACD List Class
setClass("uGARCHmultifit",
representation(fit = "vector",
desc = "vector"))
.validfitlist = function(object){
all(unlist(lapply(object@fit, FUN = function(x) is(x, "uGARCHfit"))))
}
setValidity("uGARCHmultifit", .validfitlist)
# Multiple Fit ACD List Class
setClass("uGARCHmultifilter",
representation(filter = "vector",
desc = "vector"))
.validfilterlist = function(object){
all(unlist(lapply(object@filter, FUN = function(x) is(x, "uGARCHfilter"))))
}
setValidity("uGARCHmultifilter", .validfilterlist)
# Multiple Forecast ACD List Class
setClass("uGARCHmultiforecast",
representation(forecast = "vector",
desc = "vector"))
.validforecastlist = function(object){
all(unlist(lapply(object@forecast, FUN = function(x) is(x, "uGARCHforecast"))))
}
setValidity("uGARCHmultiforecast", .validforecastlist)
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