fGarch (version 4021.88)

fitted-methods: Extract GARCH Model Fitted Values

Description

Extracts fitted values from a fitted GARCH object.

Methods

object = "ANY"

Generic function.

object = "fGARCH"

Extractor function for fitted values.

Author

Diethelm Wuertz for the Rmetrics R-port.

Details

The function extracts the @fitted value slot from an object of class "fGARCH" as returned by the function garchFit.

The class of the returned value depends on the input to the function garchFit who created the object. The returned value is always of the same class as the input object to the argument data in the function garchFit, i.e. if you fit a "timeSeries" object, you will get back from the function fitted also a "timeSeries" object, if you fit an object of class "zoo", you will get back again a "zoo" object. The same holds for a "numeric" vector, for a "data.frame", and for objects of class "ts", "mts".

In contrast, the slot itself returns independent of the class of the data input always a numeric vector, i.e. the function call rslot(object, "fitted") will return a numeric vector.

Examples

stopifnot(require("timeSeries"))
## Swiss Pension fund Index -
   x = as.timeSeries(data(LPP2005REC))

## garchFit -
   # Fit LPP40 Bechmark:
   fit = garchFit(LPP40 ~ garch(1, 1), data = 100*x, trace = FALSE)
   fit

## fitted -
   # Fitted values are now a "timeSeries" oject:
   fitted = fitted(fit)
   head(fitted)
   class(fitted)

## slot -
   # The slot contains a numeric Vector:
   fitted = slot(fit, "fitted")
   head(fitted)
   class(fitted)