halflife: Half Life
In tsgarch: Univariate GARCH Models
halflife.tsgarch.estimate R Documentation
Half Life
Description
Calculates and returns the half-life of a model.
Usage
## S3 method for class 'tsgarch.estimate'
halflife(object, ...)
Arguments
object
an object.
...
not currently used.
Details
The half life is defined as the period it
takes a series to reach half its long-term average values. For a GARCH model
this is defined as log(0.5)/log(P) where P is the persistence.
Value
a numeric value representing the half life in periods based on the
frequency of the underlying data.
tsgarch documentation built on Oct. 12, 2024, 1:07 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| halflife.tsgarch.estimate | R Documentation |
Half Life
Description
Calculates and returns the half-life of a model.
Usage
## S3 method for class 'tsgarch.estimate'
halflife(object, ...)
Arguments
object |
an object. |
... |
not currently used. |
Details
The half life is defined as the period it
takes a series to reach half its long-term average values. For a GARCH model
this is defined as log(0.5)/log(P) where P is the persistence.
Value
a numeric value representing the half life in periods based on the frequency of the underlying data.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.