| fGARCH-class {fGarch} | R Documentation |
The class fGARCH represents a model of an heteroskedastic time series process.
Objects can be created by calls of the function garchFit.
This object is a parameter estimate of an empirical GARCH process.
call:"call":
the call of the garch function.
formula:"formula":
a formula object specifying mean and variance equation.
method:"character":
a string denoting the optimization method, by default the
returneds string is "Max Log-Likelihood Estimation".
data:"list":
a list with one entry named x, containing the data of
the time series to be estimated, the same as given by the
input argument series.
fit:"list":
a list with the results from the parameter estimation. The entries
of the list depend on the selected algorithm, see below.
residuals:"numeric":
a numeric vector with the residual values.
fitted:"numeric":
a numeric vector with the fitted values.
h.t:"numeric":
a numeric vector with the conditional variances.
sigma.t:"numeric":
a numeric vector with the conditional standard deviations.
title:"character":
a title string.
description:"character":
a string with a brief description.
signature(x = "fGARCH", y = "missing"):
plots an object of class 'fGARCH'.
signature(object = "fGARCH"):
prints an object of class 'fGARCH'.
signature(object = "fGARCH"):
summarizes an object of class 'fGARCH'.
signature(object = "fGARCH"):
forecasts mean and volatility from an object of class 'fGARCH'.
signature(object = "fGARCH"):
extracts fitted values from an object of class 'fGARCH'.
signature(object = "fGARCH"):
extracts fresiduals from an object of class 'fGARCH'.
signature(object = "fGARCH"):
extracts conditional volatility from an object of class 'fGARCH'.
signature(object = "fGARCH"):
extracts fitted coefficients from an object of class 'fGARCH'.
signature(x = "fGARCH"):
extracts formula expression from an object of class 'fGARCH'.
Diethelm Wuertz and Rmetrics Core Team.