tidy.garch: Tidy a(n) garch object

In tidymodels/broom: Convert Statistical Objects into Tidy Tibbles

Tidy a(n) garch object

Description

Tidy summarizes information about the components of a model. A model component might be a single term in a regression, a single hypothesis, a cluster, or a class. Exactly what tidy considers to be a model component varies across models but is usually self-evident. If a model has several distinct types of components, you will need to specify which components to return.

Usage

## S3 method for class 'garch'
tidy(x, conf.int = FALSE, conf.level = 0.95, ...)

Arguments

x	A garch object returned by tseries::garch().
conf.int	Logical indicating whether or not to include a confidence interval in the tidied output. Defaults to FALSE.
conf.level	The confidence level to use for the confidence interval if conf.int = TRUE. Must be strictly greater than 0 and less than 1. Defaults to 0.95, which corresponds to a 95 percent confidence interval.
...	Additional arguments. Not used. Needed to match generic signature only. Cautionary note: Misspelled arguments will be absorbed in ..., where they will be ignored. If the misspelled argument has a default value, the default value will be used. For example, if you pass conf.lvel = 0.9, all computation will proceed using conf.level = 0.95. Two exceptions here are: tidy() methods will warn when supplied an exponentiate argument if it will be ignored. augment() methods will warn when supplied a newdata argument if it will be ignored.

Value

A tibble::tibble() with columns:

conf.high	Upper bound on the confidence interval for the estimate.
conf.low	Lower bound on the confidence interval for the estimate.
estimate	The estimated value of the regression term.
p.value	The two-sided p-value associated with the observed statistic.
statistic	The value of a T-statistic to use in a hypothesis that the regression term is non-zero.
std.error	The standard error of the regression term.
term	The name of the regression term.

See Also

tidy(), tseries::garch()

Other garch tidiers: glance.garch()

Examples

# load libraries for models and data
library(tseries)

# load data
data(EuStockMarkets)

# fit model
dax <- diff(log(EuStockMarkets))[, "DAX"]
dax.garch <- garch(dax)
dax.garch

# summarize model fit with tidiers
tidy(dax.garch)
glance(dax.garch)

tidymodels/broom documentation built on Nov. 11, 2024, 7:34 a.m.