uGARCHmultifilter-class: class: Univariate GARCH Multiple Filter Class

In rgarch: Flexible GARCH modelling in R

Description

Class for the univariate GARCH Multiple filter.

Extends

Class "GARCHfilter", directly. Class "rGARCH", by class "GARCHfilter", distance 3.

Methods

fitted

signature(object = "uGARCHmultifilter"): extracts the fitted values.

residuals

signature(object = "uGARCHmultifilter"): extracts the residuals.

sigma

signature(object = "uGARCHmultifilter"): extracts the conditional sigma values.

coef

signature(object = "uGARCHmultifilter"): extracts the coefficients.

likelihood

signature(object = "uGARCHmultifilter"): extracts the likelihood.

show

signature(object = "uGARCHmultifilter"): filter summary.

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHmultiforecast, uGARCHmultifit and uGARCHmultispec.

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