RTL (version 0.1.6)

garch: garch

Description

Computes annualised Garch(1,1) volatilities using fGarch package.

Usage

garch(x = x, out = TRUE)

Arguments

x

Wide dataframe with date column and single series (univariate).

out

"chart" to return chart, "data" to return data or "fit" for garch fit output

Value

plot.xts object or xts series

Examples

# NOT RUN {
x <- dflong %>% dplyr::filter(series=="CL01")
x <- returns(df=x,retType="rel",period.return=1,spread=TRUE)
x <- rolladjust(x=x,commodityname=c("cmewti"),rolltype=c("Last.Trade"))
summary(garch(x=x,out="fit"))
garch(x=x,out="chart")
garch(x=x,out="data")
# }