uGARCHspec-class {rugarch}

class: Univariate GARCH Specification Class

Description

Class for the univariate GARCH specification.

Extends

Class "GARCHspec", directly. Class "rGARCH", by class "GARCHspec", distance 2.

Slots

model:

Object of class "vector" The model specification common to all objects.

Methods

show

signature(object = "uGARCHspec"): Specification summary.

setfixed<-

signature(object = "uGARCHspec", value = "vector"): Sets the fixed parameters (which must be supplied as a named list).

setstart<-

signature(object = "uGARCHspec", value = "vector"): Sets the starting parameters (which must be supplied as a named list).

setbounds<-

signature(object = "uGARCHspec", value = "vector"): Sets the parameters lower and upper bounds, which must be supplied as a named list with each parameter being a numeric vector of length 2 i.e. "alpha1"=c(0,1)). If the vector is of length 1, then this is assumed to be the lower bound, and the upper bound will be set to its default value prior to estimation. Some of the parameters in the fGARCH model are not allowed to take on custom bounds (since they determine the class of the model) nor the beta parameter(s) in the iGARCH model.

uncmean

signature(object = "uGARCHspec"): Unconditional mean of model for a specification with fixed.pars list.

uncvariance

signature(object = "uGARCHspec"): Unconditional variance of model for a specification with fixed.pars list.

uncvariance

signature(object = "uGARCHspec", pars = "missing", distribution = "missing", model = "missing", submodel = "missing", vexdata = "missing"): Calculates and returns the long run unconditional variance of the GARCH fit given a uGARCHfit object.

halflife

signature(object = "uGARCHspec", pars = "missing", distribution = "missing", model = "missing"): Calculates and returns the halflife of the GARCH fit variance given a uGARCHspec object with fixed parameters.

persistence

signature(object = "uGARCHfit", pars = "missing", distribution = "missing", model = "missing"): Calculates and returns the persistence of the GARCH fit model given a uGARCHspec object with fixed parameters.

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHfit, uGARCHsim and uGARCHforecast.

Examples

# Basic GARCH(1,1) Spec
spec = ugarchspec()
spec