uGARCHpath-class

sigma,uGARCHpath-method

fitted,uGARCHpath-method

quantile,uGARCHpath-method

plot,uGARCHpath,missing-method

show,uGARCHpath-method

Class for the univariate GARCH Path simulation.

classes

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Alexios Ghalanos

rugarch

Univariate GARCH Models

Alexios Galanos

Tobias Kley

uGARCHpath-class function

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

Objects from the Class

Class <code>"uGARCHpath"</code>, directly.
Class <code>"rGARCH"</code>, by class "GARCHpath", distance 2.

Extends

<dl>
 <dt>sigma</dt>
<dd><code>signature(object = "uGARCHpath")</code>: 
	Extracts the conditional sigma simulated values as a matrix of size n.sim x m.sim.</dd>	<dt>fitted</dt>
<dd><code>signature(object = "uGARCHpath")</code>: 
	Extracts the conditional mean simulated values as a matrix of size n.sim x m.sim.</dd>	<dt>quantile</dt>
<dd><code>signature(x = "uGARCHpath")</code>: 
	Calculates and returns, given a scalar for the probability (additional argument 
	&#8220;probs&#8221;), the conditional quantile of the simulated object as an
	n.sim by m.sim matrix (with the same type of headings as the sigma and
	fitted methods).</dd> <dt>plot</dt>
<dd><code>signature(x = "uGARCHpath", y = "missing")</code>: path simulation plots.</dd> <dt>show</dt>
<dd><code>signature(object = "uGARCHpath")</code>: path simulation summary.</dd>	 
</dl>

Methods

Author

class: Univariate GARCH Path Simulation Class — uGARCHpath-class

<dl>
 <dt>sigma</dt>
<dd><code>signature(object = "uGARCHpath")</code>: 
	Extracts the conditional sigma simulated values as a matrix of size n.sim x m.sim.</dd>

	<dt>fitted</dt>
<dd><code>signature(object = "uGARCHpath")</code>: 
	Extracts the conditional mean simulated values as a matrix of size n.sim x m.sim.</dd>

	<dt>quantile</dt>
<dd><code>signature(x = "uGARCHpath")</code>: 
	Calculates and returns, given a scalar for the probability (additional argument 
	&#8220;probs&#8221;), the conditional quantile of the simulated object as an
	n.sim by m.sim matrix (with the same type of headings as the sigma and
	fitted methods).</dd>

 <dt>plot</dt>
<dd><code>signature(x = "uGARCHpath", y = "missing")</code>: path simulation plots.</dd>

 <dt>show</dt>
<dd><code>signature(object = "uGARCHpath")</code>: path simulation summary.</dd>

	 
</dl>

uGARCHpath-class: class: Univariate GARCH Path Simulation Class

Description

Arguments

Objects from the Class

Extends

Methods

Author

See Also