fitted: Extract Model Fitted Values

In LFUrmutils: LFU Risk Management Utilities

Description

These functions are based on the generic fitted method for objects of classes UnivVola and MultiEWMA, and extract the conditional variances.

Usage

## S3 method for class 'UnivVola'
fitted(object, ...)
## S3 method for class 'MultiEWMA'
fitted(object, ...)

Arguments

object	An object of class UnivVola or MultiEWMA.
...	Arguments passed to methods (unused at the moment).

Value

For univariate volatility models, the function extracts the conditional variances. For the multivariate EWMA model, the function extracts the conditional variance-covariance matrices. In this case, each row in the output corresponds to the (full) conditional variance-vovariance matrix of the corresponding day.

Note

For the multivariate EWMA model, we recommend that end users use the function varcov, which also allows to extract the full conditional variance-covariance matrix, but provides additional arguments to control the output.

Author(s)

Bernhard Eder

References

Danielsson (2011). Financial Risk Forecasting. Wiley. Chichester.
Jorion (2007). Value at Risk, 3rd. McGraw-Hill. New York.
Ruppert and Matteson (2015). Statistics and Data Analysis for Financial Engineering, 2nd. Springer. New York.

See Also

UnivVola, MultiEWMA, varcov.

Examples

# Load returns
data("CRSPday_zoo")
y <- CRSPday_zoo

# Compute univariate volatility model
RM <- UnivVola(y[, 1], type = "RiskMetrics", lambda = -1, center = TRUE)

# Extract fitted values
cond_vola <- fitted(RM)

LFUrmutils documentation built on Jan. 3, 2020, 3 a.m.