Summarizing GARCH Model Fits

Methods for creating and printing summaries of GARCH model fits.

Usage

# S3 method for class 'garch'
summary(object, ...)
# S3 method for class 'summary.garch'
print(x, digits = max(3, getOption("digits") - 3),
      signif.stars = getOption("show.signif.stars"), ...)

Arguments

object

an object of class "garch"; usually, a result of a call to garch.

x

an object of class "summary.garch"; usually, a result of a call to the summary method for objects of class "garch".

digits, signif.stars

see printCoefmat.

...

further arguments passed to or from other methods.

Details

summary computes the asymptotic standard errors of the coefficient estimates from an outer-product approximation of the Hessian evaluated at the estimates, see Bollerslev:1986. It furthermore tests the residuals for normality and remaining ARCH effects, see jarque.bera.test and Box.test.

Value

A list of class "summary.garch".

References

Bollerslev:1986

See also

garch