halflife.tsgarch.estimate {tsgarch}

Half Life

Description

Calculates and returns the half-life of a model.

Usage

## S3 method for class 'tsgarch.estimate'
halflife(object, ...)

Arguments

object

an object.

...

not currently used.

Details

The half life is defined as the period it takes a series to reach half its long-term average values. For a GARCH model this is defined as log(0.5)/log(P) where P is the persistence.

Value

a numeric value representing the half life in periods based on the frequency of the underlying data.