ExtractStateFit function

Single-regime model extractor.

Extracts each regime from a fitted multiple regime specificaton and creates a fitted object for each extracted regime.

ExtractStateFit(object)

## S3 method for class 'MSGARCH_ML_FIT'
ExtractStateFit(object)

## S3 method for class 'MSGARCH_MCMC_FIT'
ExtractStateFit(object)

Arguments

• object: Fit object of type MSGARCH_ML_FIT

  created with FitML or MSGARCH_MCMC_FIT

  created with FitMCMC.

Returns

A list of K elements where each element is a fit object of type MSGARCH_ML_FIT or MSGARCH_MCMC_FIT.

Examples

# create model specification
spec <- CreateSpec()

# load data
data("SMI", package = "MSGARCH")

# fit the model on the data with ML estimation
fit <- FitML(spec = spec, data = SMI)
SR.fit <- ExtractStateFit(fit)
print(SR.fit)