Methods for Fitted GARCH Models
garch-methods.RdMethods for fitted GARCH model objects.
Usage
# 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, ...)Arguments
- object, x
an object of class
"garch"; usually, a result of a call togarch.- newdata
a numeric vector or time series to compute GARCH predictions. Defaults to
eval(parse(text=object$series)).- 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
printCoefmat.- ask
Should the
plotmethod work interactively? Seeinteractive.- ...
further arguments passed to or from other methods.
Details
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.