summary.tsfmUpDn {facmodTS} | R Documentation |
Summarizing a fitted up and down market time series factor model
Description
summary
method for object of class tsfmUpDn
.
Returned object is of class summary.tsfmUpDn
. This function provides a summary
method to an object returned by a wrapper function fitTsfmUpDn
.
Usage
## S3 method for class 'tsfmUpDn'
summary(object, ...)
## S3 method for class 'summary.tsfmUpDn'
print(x, digits = 3, ...)
Arguments
object |
an object of class |
... |
futher arguments passed to or from |
x |
an object of class |
digits |
number of significants digits to use when printing. Default is 3. |
Details
Since fitTsfmUpDn
fits both up market and down market,
summary.tsfmUpDn
applies summary.tsfm
for both markets fitted
objects and combines the coefficients interested together.
Value
Returns an object of class summary.tsfmUpDn
. This object contains
a list object of Up
and Dn
for up market and down market respectively.
The print method for class summary.tsfmUpDn
outputs the call,
coefficients (with standard errors and t-statistics), r-squared and
residual volatilty (under the homoskedasticity assumption) for all assets in up and
down market.
Object of class summary.tsfmUpDn
is a list of 2 containing:
Up |
A list of the up market fitted object. It is a class of |
Dn |
A list of the down market fitted object. It is a class of |
Author(s)
Yi-An Chen and Sangeetha Srinivasan.