MSGARCH (version 0.17.7)

unc.vol: Unconditional volatility of each regime.

Description

Method returning the unconditional volatility of the process in each state.

Usage

unc.vol(object, theta)

Arguments

object

Model specification of class MSGARCH_SPEC created with create.spec or fit object of type MSGARCH_MLE_FIT created with fit.mle or MSGARCH_BAY_FIT created with fit.bayes.

theta

Vector (of size d) or matrix (of size M x d) of parameter estimates (not require when using a fit object).

Value

Unconditional volatility (vector of size K or matrix of size M x K) of each regime.

Details

If a matrix of parameter estimates is given, each parameter estimates is evaluated individually.

Examples

# create model specification
spec = MSGARCH::create.spec() 

# compute the unconditional volatility in each regime
unc.vol = MSGARCH::unc.vol(object = spec, theta = spec$theta0)