Description Objects from the Class Slots Extends Methods Author(s)
Class for the univariate GARCH Forecast Performance Measures.
Objects can be created by calling the fpm
method on uGARCHforecast
objects.
seriesfpm
:Object of class "vector"
containing the forecast performance
measures on the forecasted series.
sigmafpm
:Object of class "vector"
containing the forecast performance
measures on the forecasted sigma.
forecasts
:Object of class "vector"
containing the actual forecasts.
realized
:Object of class "vector"
containing the realized data.
details
:Object of class "vector"
other information.
Class "GARCHtests"
, directly.
Class "rGARCH"
, by class "GARCHtests", distance 2.
signature(x = "uGARCHfpm")
: option to extract either the
“series” or “sigma” using the which
option, and either the “medianloss”
or “meanloss” measures using the type
option or the “loss” for the actual
loss series. In the case of the “loss” series option, additional “rollframe” should
be supplied indicating the rolling frame to return (defaults to the first, i.e. the actual without
roll)
signature(object = "uGARCHfpm")
: summary method.
Alexios Ghalanos
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.