ACDmultifit-class: class: Univariate ACD Multiple Fit Class

In racd: Autoregressive Conditional Density Models

Description

Class for the univariate ACD Multiple fit.

Objects from the Class

Objects can be created by calls of the function multifit.

Slots

fit:

Object of class "vector"

desc:

Object of class "vector"

Methods

coef

signature(object = "ACDmultifit"): coefficient extraction.

convergence

signature(object = "ACDmultifit"): estimation convergence indicator.

fitted

signature(object = "ACDmultifit"): conditional mean dynamics xts matrix.

likelihood

signature(object = "ACDmultifit"): conditional log-likelihood at the optimal (vector).

multifilter

signature(multifitORspec = "ACDmultifit"):
function:
multifilter(multifitORspec, data = NULL, out.sample = 0, n.old = NULL, cluster = NULL, skew0 = NULL, shape0 = NULL, ...)

residuals

signature(object = "ACDmultifit"): residuals xts matrix.

shape

signature(object = "ACDmultifit"): conditional shape dynamics xts matrix, with optional argument ‘transformed’ on whether to returned the transformed dynamics (default: TRUE).

sigma

signature(object = "ACDmultifit"): conditional volatility xts matrix.

skew

signature(object = "ACDmultifit"): conditional skew dynamics xts matrix, with optional argument ‘transformed’ on whether to returned the transformed dynamics (default: TRUE)

Author(s)

Alexios Ghalanos

racd documentation built on May 2, 2019, 4:47 p.m.