ARFIMAfit-class: class: ARFIMA Fit Class

In rugarch: Univariate GARCH models

Description

Class for the ARFIMA fit.

Slots

fit:

Object of class "vector"

model:

Object of class "vector"

Extends

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

Methods

coef

signature(object = "ARFIMAfit"): Extracts the coefficients.

fitted

signature(object = "ARFIMAfit"): Extracts the fitted values.

infocriteria

signature(object = "ARFIMAfit"): Calculates and returns various information criteria.

likelihood

signature(object = "ARFIMAfit"): Extracts the likelihood.

residuals

signature(object = "ARFIMAfit"): Extracts the residuals. Optional logical argument standardize (default is FALSE) allows to extract the standardized residuals.

show

signature(object = "ARFIMAfit"): Fit summary.

uncmean

signature(object = "ARFIMAfit"): Calculates and returns the unconditional mean. Takes additional arguments ‘method’ with option for “analytical” or “simulation”, ‘n.sim’ for the number of simulations (if that method was chosen, and defaults to 100000) and ‘rseed’ for the simulation random generator initialization seed.

vcov

signature(object = "ARFIMAfit"): Extracts the covariance matrix of the parameters. Additional logical option of ‘robust’ indicates whether to extract the robust based covariance matrix.

convergence

signature(object = "ARFIMAfit"): Returns the solver convergence code for the fitted object (zero denotes convergence).

Author(s)

Alexios Ghalanos

Examples

showClass("ARFIMAfit")

Example output

Loading required package: parallel

Attaching package: 'rugarch'

The following object is masked from 'package:stats':

    sigma

Class "ARFIMAfit" [package "rugarch"]

Slots:
                    
Name:     fit  model
Class: vector vector

Extends: 
Class "ARFIMA", directly
Class "rGARCH", by class "ARFIMA", distance 2

rugarch documentation built on May 2, 2019, 4:43 p.m.