unconditional: Unconditional Value

In tsgarch: Univariate GARCH Models

Unconditional Value

Description

Unconditional value of a GARCH model variance.

Usage

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

## S3 method for class 'tsgarch.spec'
unconditional(object, ...)

Arguments

object	an object of class “tsgarch.estimate” or “tsgarch.spec”.
...	not currently used.

Details

For some models, there is no closed form solution available for the unconditional variance of higher order model (e.g. GARCH(2,1)) in which case a simulation based approach is adopted to approximate the value.

Value

A numeric vector of length 1 of the unconditional variance of the model.

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