unconditional function

Unconditional Value

Unconditional value of a GARCH model variance.

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

## S3 method for class 'tsgarch.spec'
unconditional(object, ...)

Arguments

• object: an object of class tsgarch.estimate or tsgarch.spec .
• ...: not currently used.

Returns

A numeric vector of length 1 of the unconditional variance of the model.

Details

For some models, there is no closed form solution available for the unconditional variance of higher order model (e.g. GARCH(2,1)) in which case a simulation based approach is adopted to approximate the value.