sigma: Extract Volatility (Conditional Standard Deviation)

In tsgarch: Univariate GARCH Models

Extract Volatility (Conditional Standard Deviation)

Description

Extract the conditional standard deviation from a GARCH model.

Usage

## S3 method for class 'tsgarch.estimate'
sigma(object, ...)

## S3 method for class 'tsgarch.multi_estimate'
sigma(object, ...)

Arguments

object	an object of class “tsgarch.estimate”, “tsgarch.predict”, “tsgarch.simulate” or a “tsgarch.multi_estimate”.
...	not currently used.

Value

An xts vector of the conditional volatility for the univariate type objects. In the case of a multi-estimate object, a list of xts vectors is returned if the individual univariate objects have unequal indices, else an xts matrix is returned.

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