- coef
signature(object = "uGARCHfit"):
Extracts the coefficients.
- cofint
signature(object = "uGARCHfit"):
Similar to the stats S3 method confint, extracts coefficient
confidence intervals taking additional optional arguments parm and
level, as well as robust (default: FALSE) indicating whether
to use the robust covariance matrix for the calculations.
- vcov
signature(object = "uGARCHfit"):
Extracts the covariance matrix of the parameters. Additional logical option of
‘robust’ indicates whether to extract the robust based covariance matrix.
- infocriteria
signature(object = "uGARCHfit"):
Calculates and returns various information criteria.
- nyblom
signature(object = "uGARCHfit"):
Calculates and returns the Hansen-Nyblom stability test (1990).
- gof
signature(object = "uGARCHfit", groups = "numeric"):
Calculates and returns the adjusted goodness of fit statistic and p-values
for the fitted distribution based on the Vlaar and Palm paper (1993). Groups is
a numeric vector of bin sizes.
- newsimpact
signature(object = "uGARCHfit"):
Calculates and returns the news impact curve.
- signbias
signature(object = "uGARCHfit"):
Calculates and returns the sign bias test of Engle and Ng (1993).
- likelihood
signature(object = "uGARCHfit"):
Extracts the likelihood.
- sigma
signature(object = "uGARCHfit"):
Extracts the conditional sigma values.
- fitted
signature(object = "uGARCHfit"):
Extracts the fitted values.
- residuals
signature(object = "uGARCHfit"):
Extracts the residuals. Optional logical argument standardize
(default is FALSE) allows to extract the standardized residuals.
- getspec
signature(object = "uGARCHfit"):
Extracts and returns the GARCH specification from a fit object.
- uncvariance
signature(object = "uGARCHfit", pars = "missing",
distribution="missing", model = "missing", vexdata = "missing"):
Calculates and returns the long run unconditional variance of the GARCH fit
given a uGARCHfit object.
- uncvariance
signature(object = "missing", pars = "numeric",
distribution = "character", model = "character", submodel = "ANY",
vexdata = "ANY"):
Calculates and returns the long run unconditional variance of the GARCH fit
given a named parameter vector as returned by the fit, a distribution model
name and a GARCH model name with a submodel included if the model is of the
nested type such as fGARCH and any external regressor data.
- uncmean
signature(object = "uGARCHfit"):
Calculates and returns the unconditional mean of the conditional mean equation
(constant, ARMAX, arch-in-mean).
- persistence
signature(object = "uGARCHfit", pars = "missing",
distribution = "missing", model = "missing"):
Calculates and returns the persistence of the GARCH fit model given a
uGARCHfit object.
- persistence
signature(object = "missing", pars = "numeric",
distribution = "character", model = "character"):
Calculates and returns the persistence of the GARCH fit model given a named
parameter vector as returned by the fit, a distribution model name and a
GARCH model name with a submodel included if the model is of the nested type
such as fGARCH.
- halflife
signature(object = "uGARCHfit", pars = "missing",
distribution = "missing", model = "missing"):
Calculates and returns the halflife of the GARCH fit variance given a
uGARCHfit object.
- halflife
signature(object = "missing", pars = "numeric",
distribution = "character", model = "character"):
Calculates and returns the halflife of the GARCH fit variance given a named
parameter vector as returned by the fit, a distribution model name and a
GARCH model name with a submodel included if the model is of the nested
type such as fGARCH.
- convergence
signature(object = "uGARCHfit"):
Returns the solver convergence code for the fitted object (zero denotes
convergence).
- quantile
signature(x = "uGARCHfit"):
Calculates and returns, given a vector of probabilities (additional argument
“probs”), the conditional quantiles of the fitted object (x).
- pit
signature(object = "uGARCHfit"):
Calculates and returns the conditional probability integral transform given the
data and estimated density.
- reduce
signature(object = "uGARCHfit"):
Zeros parameters (fixing to zero in rugarch is equivalent to eliminating them
in estimation) with p-values (optional argument “pvalue”) greater
than 0.1 (default), and re-estimates the model. Additional arguments are passed
to ugarchfit.An additional option “use.robust” (default TRUE)
asks whether to use the robust calculated p-values.
- plot
signature(x = "uGARCHfit", y = "missing"):
Fit plots.
- show
signature(object = "uGARCHfit"):
Fit summary.