uGARCHfpm-class: class: Univatiate GARCH Forecast Performance Measures

In rgarch: Flexible GARCH modelling in R

Description

Class for the univariate GARCH Forecast Performance Measures.

Objects from the Class

Objects can be created by calling the fpm method on uGARCHforecast objects.

Slots

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.

Extends

Class "GARCHtests", directly. Class "rGARCH", by class "GARCHtests", distance 2.

Methods

as.data.frame

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)

show

signature(object = "uGARCHfpm"): summary method.

Author(s)

Alexios Ghalanos

rgarch documentation built on May 2, 2019, 5:22 p.m.