fREG-class {fRegression}

Class "fREG"

Description

The class 'fREG' represents a fitted model of an heteroskedastic time series process.

Objects from the Class

Objects can be created by calls of the function regFit. The returned object represents parameter estimates of linear and generalized linear models.

Slots

call:

Object of class "call": the call of the garch function.

formula:

Object of class "formula": the formula used in parameter estimation.

family:

Object of class "character": the family objects provide a convenient way to specify the details of the models used by function grefFit For details we refer to the documentation for the function glm in R's base package on how such model fitting takes place.

method:

Object of class "character": a string denoting the regression model in use, i.e. one of those listed in the use argument of the function regFit or gregFit.

data:

Object of class "list": a list with at least two entries named x containing the data frame used for the estimation, and data with the object of the rectangular input data.

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 residual values.

fitted:

Object of class "numeric": a numeric vector with the fitted values.

title:

Object of class "character": a title string.

description:

Object of class "character": a string with a brief description.

Methods

show

signature(object = "fREG"): prints an object of class 'fREG'.

plot

signature(x = "fREG", y = "missing"): plots an object of class 'fREG'.

summary

signature(object = "fREG"): summarizes results and diagnostic analysis of an object of class 'fREG'.

predict

signature(object = "fREG"): forecasts mean and volatility from an object of class 'fREG'.

fitted

signature(object = "fREG"): extracts fitted values from an object of class 'fREG'.

residuals

signature(object = "fREG"): extracts fresiduals from an object of class 'fREG'.

coef

signature(object = "fREG"): extracts fitted coefficients from an object of class 'fREG'.

formula

signature(x = "fREG"): extracts formula expression from an object of class 'fREG'.

Author(s)

Diethelm Wuertz and Rmetrics Core Team.