class-fGARCH: Class "fGARCH" - fitted ARMA-GARCH/APARCH models

In fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Class "fGARCH" - fitted ARMA-GARCH/APARCH models

Description

Class 'fGARCH' represents models fitted to heteroskedastic time series, including ARCH, GARCH, APARCH, ARMA-GARCH and ARMA-APARCH models.

Objects from the Class

Objects from class "fGARCH" can be created by calls of the function garchFit.

Slots

call:

Object of class "call", the call used to fit the model and create the object.

formula:

Object of class "formula", a formula object representing the mean and variance equations.

method:

Object of class "character", a string denoting the optimization method, by default "Max Log-Likelihood Estimation".

data:

Object of class "list", a list with one entry, x, containing the data of the time series to which the model is fitted.

fit:

Object of class "list", a list with the results from the parameter estimation. The entries of the list depend on the selected algorithm, see below.

residuals:

Object of class "numeric", the raw, unstandardized residuals.

fitted:

Object of class "numeric", the fitted values.

h.t:

Object of class "numeric", the conditional variances (h_t = \sigma_t^\delta).

sigma.t:

Object of class "numeric", the conditional standard deviations.

title:

Object of class "character", a title string.

description:

Object of class "character", a string with a brief description.

Methods

Besides the S4 methods described below, the are "fGARCH" methods (S3) for tsdiag (tsdiag), VaR (VaR), expected shortfall (ES), volatility (volatility), and maybe others.

plot

signature(x = "fGARCH", y = "missing"): plots an object of class "fGARCH", see the help page of the method for details and options.

show

signature(object = "fGARCH"): prints the object.

summary

signature(object = "fGARCH"): summarizes the object. The help page of the "fGARCH" method gives details on the output, as well as interpretation of the results.

predict

signature(object = "fGARCH"): Computes forecasts of the mean and some measures of risk (such as volatility, value-at-risk and expected shortfall), see the method's help page for full details.

fitted

signature(object = "fGARCH"): extracts fitted values from the object (help page).

residuals

signature(object = "fGARCH"): returns residuals from the fitted model (help page).

coef

signature(object = "fGARCH"): extracts the estimated coefficients (help page).

formula

signature(x = "fGARCH"): extracts the formula expression, see the method's help page.

update

signature(object = "fGARCH"): ...

Author(s)

Diethelm Wuertz and Rmetrics Core Team

See Also

garchFit, garchSpec, garchFitControl

Examples

## simulate a time series, fit a GARCH(1,1) model, and show it:
x <- garchSim( garchSpec(), n = 500)
fit <- garchFit(~ garch(1, 1), data = x, trace = FALSE)
coef(fit)
summary(fit)
fit # == print(fit) and also == show(fit)

fGarch documentation built on July 12, 2024, 3:01 p.m.