Class "fGARCH"
class-fGARCH.Rd
The class 'fGARCH' represents a model of an heteroskedastic time series process.
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 thegarch
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 namedx
, containing the data of the time series to be estimated, the same as given by the input argumentseries
.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"
.
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)
#>
#> Title:
#> GARCH Modelling
#>
#> Call:
#> garchFit(formula = ~garch(1, 1), data = x, trace = FALSE)
#>
#> Mean and Variance Equation:
#> data ~ garch(1, 1)
#> <environment: 0x559fb64723a8>
#> [data = x]
#>
#> Conditional Distribution:
#> norm
#>
#> Coefficient(s):
#> mu omega alpha1 beta1
#> 1.6768e-04 5.8853e-07 1.0841e-01 8.2115e-01
#>
#> Std. Errors:
#> based on Hessian
#>
#> Error Analysis:
#> Estimate Std. Error t value Pr(>|t|)
#> mu 1.677e-04 1.156e-04 1.451 0.14679
#> omega 5.885e-07 3.210e-07 1.834 0.06672 .
#> alpha1 1.084e-01 4.076e-02 2.659 0.00783 **
#> beta1 8.212e-01 6.669e-02 12.314 < 2e-16 ***
#> ---
#> Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
#>
#> Log Likelihood:
#> 2235.38 normalized: 4.47076
#>
#> Description:
#> Tue Jun 6 21:51:43 2023 by user: georgi
#>