betategarch (version 3.3)

coef.tegarch: Extraction methods for 'tegarch' objects

Description

Extraction methods for objects of class 'tegarch' (i.e. the result of estimating a Beta-Skew-t-EGARCH model)

Usage

"coef"(object, ...)
"fitted"(object, verbose = FALSE, ...)
"logLik"(object, ...)
"print"(x, ...)
"residuals"(object, standardised = TRUE, ...)
"summary"(object, verbose = FALSE, ...)
"vcov"(object, ...)

Arguments

object

an object of class 'tegarch'

x

an object of class 'tegarch'

verbose

logical. If FALSE (default) then only basic information is returned

standardised

logical. If TRUE (default) then the standardised residuals are returned. If FALSE then the scaled (by sigma) residuals are returned

...

additional arguments

Value

Details

Empty

References

Fernandez and Steel (1998), 'On Bayesian Modeling of Fat Tails and Skewness', Journal of the American Statistical Association 93, pp. 359-371.

Harvey and Sucarrat (2014), 'EGARCH models with fat tails, skewness and leverage'. Computational Statistics and Data Analysis 76, pp. 320-338.

Sucarrat (2013), 'betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models'. The R Journal (Volume 5/2), pp. 137-147.

See Also

tegarch, coef, fitted, logLik, predict, predict.tegarch, print, summary, vcov

Examples

#simulate 500 observations from model with default parameter values:
set.seed(123)
y <- tegarchSim(500)

#estimate and store as 'mymodel':
mymod <- tegarch(y)

#print estimation result:
print(mymod)

#extract coefficients:
coef(mymod)

#extract log-likelihood:
logLik(mymod)

#plot fitted conditional standard deviations:
plot(fitted(mymod))

#plot all the fitted series:
plot(fitted(mymod, verbose=TRUE))

#histogram of standardised residuals:
hist(residuals(mymod))