class-fGARCH function

Class "fGARCH"

The class 'fGARCH' represents a model of an heteroskedastic time series process. class

Objects from the Class

Objects can be created by calls of the function garchFit. This object is a parameter estimate of an empirical GARCH process.

Slots

• call:: Object of class "call": the call of the garch function.

• formula:: Object of class "formula": a formula object specifying the mean and variance equations.

• method:: Object of class "character": a string denoting the optimization method, by default "Max Log-Likelihood Estimation".

• data:: Object of class "list": a list with one entry named x, containing the data of the time series to be estimated, the same as given by the input argument series.

• fit:: Object of class "list": a list with the results from the parameter estimation. The entries of the list depend on the selected algorithm, see below.

• residuals:: Object of class "numeric": a numeric vector with the (raw, unstandardized) residual values.

• fitted:: Object of class "numeric": a numeric vector with the fitted values.

• h.t:: Object of class "numeric":

   a numeric vector with the conditional variances ($h.t = sigma.t^delta$).
  

• sigma.t:: Object of class "numeric": a numeric vector with the conditional standard deviations.

• title:: Object of class "character": a title string.

• description:: Object of class "character": a string with a brief description.

Methods

• plot: signature(x = "fGARCH", y = "missing"): plots an object of class "fGARCH".
• show: signature(object = "fGARCH"): prints an object of class "fGARCH".
• summary: signature(object = "fGARCH"): summarizes an object of class "fGARCH".
• predict: signature(object = "fGARCH"): forecasts mean and volatility from an object of class "fGARCH".
• fitted: signature(object = "fGARCH"): extracts fitted values from an object of class "fGARCH".
• residuals: signature(object = "fGARCH"): extracts fresiduals from an object of class "fGARCH".
• volatility: signature(object = "fGARCH"): extracts conditional volatility from an object of class "fGARCH".
• coef: signature(object = "fGARCH"): extracts fitted coefficients from an object of class "fGARCH".
• formula: signature(x = "fGARCH"): extracts formula expression from an object of class "fGARCH".

Author(s)

Diethelm Wuertz and Rmetrics Core Team

See Also

garchFit, garchSpec, garchFitControl

Examples

## simulate a time series, fit a GARCH(1,1) model, and show it:
x <- garchSim( garchSpec(), n = 500)
fit <- garchFit(~ garch(1, 1), data = x, trace = FALSE)
fit # == print(fit) and also == show(fit)