halflife function

Half Life

Calculates and returns the half-life of a model.

## S3 method for class 'tsgarch.estimate'
halflife(object, ...)

Arguments

• object: an object.
• ...: not currently used.

Returns

a numeric value representing the half life in periods based on the frequency of the underlying data.

Details

The half life is defined as the period it takes a series to reach half its long-term average values. For a GARCH model this is defined as $log(0.5)/log(P)$ where P is the persistence.