uGARCHpath-class: class: Univariate GARCH Path Simulation Class
In rgarch: Flexible GARCH modelling in R

Description Objects from the Class Extends Methods Note Author(s) See Also

Class for the univariate GARCH Path simulation.

A virtual Class: No objects may be created from it.

Class "uGARCHpath", directly. Class "rGARCH", by class "GARCHpath", distance 2.

as.data.frame: signature(x = "uGARCHpath"): extracts the simulated path values (see note).
plot: signature(x = "uGARCHpath", y = "missing"): path simulation plots.
show: signature(object = "uGARCHpath"): path simulation summary.

The as.data.frame function takes optionally 1 additional arguments, namely which, indicating the type of simulation path series to extract. Valid values are “sigma” for the simulated sigma, “series” for the simulated series and “residuals” for the simulated residuals. The dimension of the data.frame will be n.sim by m.sim.

Alexios Ghalanos

Classes uGARCHsim, uGARCHfit and uGARCHspec.

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