uGARCHroll-class: class: Univariate GARCH Rolling Forecast Class
In rgarch: Flexible GARCH modelling in R

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

Class for the univariate GARCH rolling forecast.

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

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

as.data.frame: signature(x = "uGARCHroll"): extracts various values from object (see note).
plot: signature(x = "uGARCHroll", y = "missing"): roll result backtest plots (see note).
report: signature(object = "uGARCHroll"): roll backtest reports (see note).
as.uGARCHforecast: signature(object = "uGARCHroll"): extracts and converts the forecast object contained in the roll object to one of uGARCHforecast given the refit number supplied by additional argument ‘refit’ (defaults to 1).

The as.data.frame extractor method allows the extraction of a variety of values from the object. Additional arguments are: which indicates the type of value to return. Valid values are “coefs” returning the parameter coefficients for all refits, “density” for the parametric density, “coefmat” for the parameter coefficients with their respective standard errors and t- and p- values, “LLH” for the likelihood across the refits, and “VaR” for the Value At Risk measure if it was requested in the roll function call.
n.ahead for the n.ahead forecast horizon to return if which was used with arguments “density” or “VaR”.
refit indicates which refit window to return the “coefmat” if that was chosen.

The plot method takes the following additional arguments:
which allows for either a numeric value of 1:4, else will default to “ask” for interactive printing of the options in the command windows. Additionally, the value of “all” wil create a 2x2 chart with all plots.
n.ahead for the rolling n.ahead forecasts (defaults to 1).
VaR.alpha for the Value at Risk backtest plot, this is the tail probability and defaults to 0.01.
density.support the support for the time varying density plot density, defaults to c(-0.15, 0.15) but you should change this to something more appropriate for your data and period under consideration.
The report method takes the following additional arguments:
type for the report type. Valid values are “VaR” for the Value at Risk report based on the unconditional and conditional coverage tests for VaR exceedances (discussed below) and “fpm” for forecast performance measures.
n.ahead for the rolling n.ahead forecasts (defaults to 1).
VaR.alpha for the Value at Risk backtest report, this is the tail probability and defaults to 0.01.
conf.level the confidence level upon which the conditional coverage hypothesis test will be based on (defaults to 0.95).
Kupiec's unconditional coverage test looks at whether the amount of expected versus actual exceedances given the tail probability of VaR actually occur as predicted, while the conditional coverage test of Christoffersen is a joint test of the unconditional coverage and the independence of the exceedances. Both the joint and the separate unconditional test are reported since it is always possible that the joint test passes while failing either the independence or unconditional coverage test.