summary.MDSVfit: Summarize, print and plot MDSV Fitting

In Abdoulhaki/MDSV: Multifractal Discrete Stochastic Volatility

Summarize, print and plot MDSV Fitting

Description

Summary, print and plot methods for the class MDSVfit as returned by the function MDSVfit.

Usage

## S3 method for class 'MDSVfit'
summary(object, ...)

## S3 method for class 'summary.MDSVfit'
print(x, ...)

## S3 method for class 'MDSVfit'
print(x, ...)

## S3 method for class 'MDSVfit'
plot(x, plot.type = c("dis", "nic"), ...)

## S3 method for class 'plot.MDSVfit'
print(x, ...)

Arguments

object	An object of class MDSVfit, output of the function MDSVfit.
...	Further arguments passed to or from other methods.
x	An object of class summary.MDSVfit, output of the function summary.MDSVfit, class MDSVfit of the function MDSVfit or class plot.MDSVfit of the function plot.MDSVfit.
plot.type	A character designing the type of plot. dis for the stationnary distribution of the volatilities, nic for the New Impact Curve (see. Engle and Ng, 1993).

Details

dis as argument plot.type lead to plot the stationnary distribution of the Markov chain process MDSV. The leverage effect is not took into account for that plot.

Value

A list consisting of:

• ModelType : type of model to be fitted.

• LEVIER : wheter the fit take the leverage effect into account or not.

• N : number of components for the MDSV process.

• K : number of states of each MDSV process component.

• convergence : 0 if convergence, 1 if not.

• estimates : estimated parameters.

• LogLikelihood : log-likelihood of the model on the data.

• AIC : Akaike Information Criteria of the model on the data.

• BIC : Bayesian Information Criteria of the model on the data.

• data : data use for the fitting.

• ... : further arguments passed to the function.

References

Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. The journal of finance, 48(5), 1749-1778. https://doi.org/10.1111/j.1540-6261.1993.tb05127.x

See Also

For fitting MDSVfit, filtering MDSVfilter, bootstrap forecasting MDSVboot and rolling estimation and forecast MDSVroll.

Abdoulhaki/MDSV documentation built on July 6, 2024, 4:03 p.m.