uGARCHspec-class: class: Univariate GARCH Specification Class

In rgarch: Flexible GARCH modelling in R

Description

Class for the univariate GARCH specification.

Extends

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

Methods

show

signature(object = "uGARCHspec"): spec summary.

uncmean

signature(object = "uGARCHspec"): unconditional mean of model for a specification with fixed.pars list.

uncvariance

signature(object = "uGARCHspec"): unconditional variance of model for a specification with fixed.pars list.

uncvariance

signature(object = "uGARCHfit", pars = "missing", distribution="missing", model = "missing"): calculates and returns the long run unconditional variance of the garch fit given a uGARCHfit object.

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHfit, uGARCHsim and uGARCHforecast.

Examples

# Basic GARCH(1,1) Spec
spec = ugarchspec()
spec

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