GARCH coefficients methods

Coefficients methods coef() for GARCH Models.

Methods

Methods for coef defined in package fGarch:

object = "fGARCH"

Extractor function for coefficients from a fitted GARCH model.

object = "fGARCHSPEC"

Extractor function for coefficients from a GARCH specification structure.

Note

coef is a generic function which extracts coefficients from objects returned by modeling functions.

Author

Diethelm Wuertz for the Rmetrics R-port

Examples

## garchSpec -
   # Use default parameters beside alpha:
   spec = garchSpec(model = list(alpha = c(0.05, 0.05)))
   spec
#> 
#> Formula: 
#>  ~ garch(2, 1)
#> Model:
#>  omega: 1e-06
#>  alpha: 0.05 0.05
#>  beta:  0.8
#> Distribution: 
#>  norm
#> Presample: 
#>   time          z     h y
#> 1   -1  1.6811273 1e-05 0
#> 2    0 -0.3272859 1e-05 0
   coef(spec)
#>  omega alpha1 alpha2 gamma1 gamma2   beta     mu     ar     ma  delta 
#>  1e-06  5e-02  5e-02  0e+00  0e+00  8e-01  0e+00  0e+00  0e+00  2e+00 
#> attr(,"distribution")
#> [1] "norm"

## garchSim -
   # Simulate an univariate "timeSeries" series from specification 'spec':
   x = garchSim(spec, n = 2000)
   x = x[,1]

## garchFit --
   fit = garchFit( ~ garch(1, 1), data = x, trace = FALSE)

## coef -
   coef(fit)
#>            mu         omega        alpha1         beta1 
#> -3.191295e-05  1.102188e-06  6.839252e-02  8.106040e-01