confint: Confidence Intervals for Model Parameters

In tsgarch: Univariate GARCH Models

Confidence Intervals for Model Parameters

Description

Confidence Intervals for Model Parameters

Usage

## S3 method for class 'tsgarch.estimate'
confint(object, parm, level = 0.95, vcov_type = "H", ...)

Arguments

object	an object of class tsgarch.estimate.
parm	a specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered.
level	the confidence level required.
vcov_type	valid choices are “H” for using the analytic hessian for the bread, “OP” for the outer product of gradients, “QMLE” for the Quasi-ML sandwich estimator (Huber-White), and “NW” for the Newey-West adjusted sandwich estimator (a HAC estimator).
...	additional parameters passed to the Newey-West bandwidth function to determine the optimal lags.

Value

A matrix (or vector) with columns giving lower and upper confidence limits for each parameter. These will be labelled as (1-level)/2 and 1 - (1-level)/2 in % (by default 2.5% and 97.5%).

tsgarch documentation built on Oct. 12, 2024, 1:07 a.m.