rugarch (version 1.5-2)

uGARCHdistribution-class: class: Univariate GARCH Parameter Distribution Class

Description

Class for the univariate GARCH Parameter Distribution.

Objects from the Class

A virtual Class: No objects may be created from it.

Extends

Class "GARCHdistribution", directly. Class "rGARCH", by class "GARCHdistribution", distance 2.

Methods

as.data.frame

signature(x = "uGARCHdistribution"): Extracts various values from object (see note).

plot

signature(x = "uGARCHdistribution", y = "missing"): Parameter Distribution Plots.

show

signature(object = "uGARCHdistribution"): Parameter Distribution Summary.

Author

Alexios Ghalanos

See Also

Classes uGARCHforecast, uGARCHfit and uGARCHspec.

Examples

if (FALSE) {
data(sp500ret)
spec = ugarchspec(variance.model=list(model="gjrGARCH", garchOrder=c(1,1)), 
		mean.model=list(armaOrder=c(1,1), arfima=FALSE, include.mean=TRUE, 
		archm = FALSE, archpow = 1), distribution.model="std")
		
fit = ugarchfit(data=sp500ret[, 1, drop = FALSE], out.sample = 0, 
				spec = spec, solver = "solnp")
	
dist = ugarchdistribution(fit, n.sim = 2000, n.start = 50, m.sim = 5)
}