MSGARCH (version 2.51)

ExtractStateFit: Single-regime model extractor.

Description

Extracts each regime from a fitted multiple regime specificaton and creates a fitted object for each extracted regime.

Usage

ExtractStateFit(object)
# S3 method for MSGARCH_ML_FIT
ExtractStateFit(object)
# S3 method for MSGARCH_MCMC_FIT
ExtractStateFit(object)

Value

A list of K elements where each element is a fit object of type MSGARCH_ML_FIT or MSGARCH_MCMC_FIT.

Arguments

object

Fit object of type MSGARCH_ML_FIT created with FitML or MSGARCH_MCMC_FIT created with FitMCMC.

Examples

# create model specification
spec <- CreateSpec()

# load data
data("SMI", package = "MSGARCH")

# fit the model on the data with ML estimation
fit <- FitML(spec = spec, data = SMI)
SR.fit <- ExtractStateFit(fit)
print(SR.fit)