Methods for Fitted GARCH Models
Methods for fitted GARCH model objects.
## S3 method for class 'garch'
predict(object, newdata, genuine = FALSE, ...)
## S3 method for class 'garch'
coef(object, ...)
## S3 method for class 'garch'
vcov(object, ...)
## S3 method for class 'garch'
residuals(object, ...)
## S3 method for class 'garch'
fitted(object, ...)
## S3 method for class 'garch'
print(x, digits = max(3, getOption("digits") - 3), ...)
## S3 method for class 'garch'
plot(x, ask = interactive(), ...)
## S3 method for class 'garch'
logLik(object, ...)object, x |
an object of class |
newdata |
a numeric vector or time series to compute GARCH
predictions. Defaults to |
genuine |
a logical indicating whether a genuine prediction should be made, i.e., a prediction for which there is no target observation available. |
digits |
see |
ask |
Should the |
... |
further arguments passed to or from other methods. |
predict returns +/- the conditional standard deviation
predictions from a fitted GARCH model.
coef returns the coefficient estimates.
vcov the associated covariance matrix estimate (outer product of gradients estimator).
residuals returns the GARCH residuals, i.e., the time series
used to fit the model divided by the computed conditional standard
deviation predictions for this series. Under the assumption of
conditional normality the residual series should be i.i.d. standard
normal.
fitted returns +/- the conditional standard deviation
predictions for the series which has been used to fit the model.
plot graphically investigates normality and remaining ARCH
effects for the residuals.
logLik returns the log-likelihood value of the GARCH(p, q)
model represented by object evaluated at the estimated
coefficients. It is assumed that first max(p, q) values are fixed.
For predict a bivariate time series (two-column matrix) of
predictions.
For coef, a numeric vector, for residuals and
fitted a univariate (vector) and a bivariate time series
(two-column matrix), respectively.
For plot and print, the fitted GARCH model object.
A. Trapletti
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