Extract GARCH Model Volatility
Extracts volatility from a fitted GARCH object.
an object of class
a character string denoting if the conditional standard
additional arguments to be passed.
The function extracts the
@volatility from the slots
@h.t of an object of class
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 volatility or standard deviation from an object of class
volatility is a generic function which extracts volatility values
from objects returned by modeling functions.
Diethelm Wuertz for the Rmetrics R-port.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
## Swiss Pension func Index - x = as.timeSeries(data(LPP2005REC)) ## garchFit fit = garchFit(LPP40 ~ garch(1, 1), data = 100*x, trace = FALSE) fit ## volatility - # Standard Deviation: volatility = volatility(fit, type = "sigma") head(volatility) class(volatility) # Variance: volatility = volatility(fit, type = "h") head(volatility) class(volatility) ## slot - volatility = slot(fit, "sigma.t") head(volatility) class(volatility) volatility = slot(fit, "h.t") head(volatility) class(volatility)
Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.