uGARCHpath-class {rugarch}

class: Univariate GARCH Path Simulation Class

Description

Class for the univariate GARCH Path simulation.

Objects from the Class

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

Extends

Class "uGARCHpath", directly. Class "rGARCH", by class "GARCHpath", distance 2.

Methods

sigma

signature(object = "uGARCHpath"): Extracts the conditional sigma simulated values as a matrix of size n.sim x m.sim.

fitted

signature(object = "uGARCHpath"): Extracts the conditional mean simulated values as a matrix of size n.sim x m.sim.

quantile

signature(x = "uGARCHpath"): Calculates and returns, given a scalar for the probability (additional argument “probs”), the conditional quantile of the simulated object as an n.sim by m.sim matrix (with the same type of headings as the sigma and fitted methods).

plot

signature(x = "uGARCHpath", y = "missing"): path simulation plots.

show

signature(object = "uGARCHpath"): path simulation summary.

Note

The sigma and fitted methods are used to extract the matrix of simulated conditional sigma and mean values. The as.data.frame method is globally deprecated as an extractor method in rugarch with the exception of a few classes which still makes sense to use them.

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHsim, uGARCHfit and uGARCHspec.