uGARCHsim-class {rugarch} | R Documentation |
class: Univariate GARCH Simulation Class
Description
Class for the univariate GARCH simulation.
Extends
Class "GARCHsim"
, directly.
Class "rGARCH"
, by class "GARCHsim", distance 2.
Slots
simulation
:Object of class
"vector"
Holds data on the simulation.model
:Object of class
"vector"
The model specification common to all objects.seed
:Object of class
"integer"
The random seed used.
Methods
- sigma
signature(object = "uGARCHsim")
: Extracts the conditional sigma simulated values as a matrix of size n.sim x m.sim.- fitted
signature(object = "uGARCHsim")
: Extracts the conditional mean simulated values as a matrix of size n.sim x m.sim.- quantile
signature(object = "uGARCHsim", probs="numeric")
: 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 = "uGARCHsim", y = "missing")
: Simulation plots.- show
signature(object = "uGARCHsim")
: 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 uGARCHforecast
, uGARCHfit
and
uGARCHspec
.
Examples
## Not run:
# Basic GARCH(1,1) Spec
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec)
sim = ugarchsim(fit,n.sim=1000, n.start=1, m.sim=1, startMethod="sample")
sim
head(sigma(sim))
## End(Not run)