uGASSim {GAS}

Class for Univariate GAS Simulation

Description

Class for Univariate GAS model Simulation.

Objects from the Class

A virtual Class: No objects may be created from it.

Slots

ModelInfo:

Object of class list. Contains information about the univariate GAS specification:

• iT numeric Time length of simulated observations.

• iK numeric Number of (possibly) time-varying parameters implied by the distributional assumption.

• vKappa numeric Vector of unconditional level for the reparametrised vector of parameters.

• mA matrix Of coefficients of dimension iK x iK that premultiply the conditional score in the GAS updating recursion.

• mB matrix Of autoregressive coefficients of dimension iK x iK.

• Dist character Label of the conditional distribution, see DistInfo

• ScalingType character Representing the scaling mechanism for the conditional score, see DistInfo.

GASDyn:

Object of class list. Contains: the series of simulated parameters (GASDyn$mTheta), the series of scaled scores (GASDyn$mInnovation), the series of unrestricted simulated parameters (GASDyn$mTheta_tilde), the series of log densities (GASDyn$vLLK), the log likelihood evaluated at its optimum value (GASDyn$dLLK).

Data:

Object of class numeric. Vector of length iT of simulated data.

Methods

• show signature(object = 'uGASSim'): Show summary.

• plot signature(x = 'uGASSim', y = 'missing'): Plot simulated data and parameters.

• getFilteredParameters signature(object = 'uGASSim'): Extract simulated parameters.

• getObs signature(object = 'uGASSim'): Extract simulated observations.

• coef signature(object = 'uGASSim'): Extract delivered coefficients.

• quantile signature(object = 'uGASSim'): Compute quantiles of the filtered simulated density at each point in time. It accepts the additional argument probs representing the vector of probabilities.

• ES signature(object = 'uGASSim'): Compute the Expected Shortfall of the filtered simulated density at each point in time. It accepts the additional argument probs representing the vector of probabilities.

Author(s)

Leopoldo Catania