fGARCH-class {fGarch}

Class "fGARCH"

Description

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 the garch 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 named x, containing the data of the time series to be estimated, the same as given by the input argument series.

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".

Author(s)

Diethelm Wuertz and Rmetrics Core Team

See Also

garchFit, garchSpec, garchFitControl

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)