Extract GARCH Model Fitted Values
Extracts fitted values from a fitted GARCH object.
The function extracts the
@fitted value slot from an
object of class
"fGARCH" as returned by the function
The class of the returned value depends on the input to the
garchFit who created the object. The returned
value is always of the same class as the input object to the
data in the function
garchFit, i.e. if
you fit a
"timeSeries" object, you will get back from
fitted also a
if you fit an object of class
"zoo", you will get back
"zoo" object. The same holds for a
vector, for a
"data.frame", and for objects of class
In contrast, the slot itself returns independent of the class
of the data input always a numceric vector, i.e. the function
slot(object, "fitted") will return a numeric vector.
- object = "ANY"
- object = "fGARCH"
Extractor function for fitted values.
fitted is a generic function which extracts fitted values
from objects returned by modeling functions.
Diethelm Wuertz for the Rmetrics R-port.
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## Swiss Pension fund Index - x = as.timeSeries(data(LPP2005REC)) ## garchFit - # Fit LPP40 Bechmark: fit = garchFit(LPP40 ~ garch(1, 1), data = 100*x, trace = FALSE) fit ## fitted - # Fitted values are now a "timeSeries" oject: fitted = fitted(fit) head(fitted) class(fitted) ## slot - # The slot contains a numeric Vector: fitted = slot(fit, "fitted") head(fitted) class(fitted)
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