rugarch (version 1.5-3)

uGARCHfilter-class: class: Univariate GARCH Filter Class

Description

Class for the univariate GARCH filter.

Extends

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

Methods

fitted

signature(object = "uGARCHfilter"): Extracts the fitted values.

residuals

signature(object = "uGARCHfilter"): Extracts the residuals. Optional logical argument standardize (default is FALSE) allows to extract the standardized residuals.

sigma

signature(object = "uGARCHfilter"): Extracts the conditional sigma values.

coef

signature(object = "uGARCHfilter"): Extracts the coefficients.

infocriteria

signature(object = "uGARCHfilter"): Calculates and returns various information criteria.

newsimpact

signature(object = "uGARCHfilter"): Calculates and returns the news impact curve.

likelihood

signature(object = "uGARCHfilter"): Extracts the likelihood.

signbias

signature(object = "uGARCHfilter"): Calculates and returns the sign bias test of Engle and Ng (1993).

gof

signature(object = "uGARCHfilter", 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.

persistence

signature(object = "uGARCHfilter", pars = "missing", distribution = "missing", model = "missing", submodel = "missing"): Calculates and returns the persistence of the garch filter model.

halflife

signature(object = "uGARCHfilter", pars = "missing", distribution = "missing", model = "missing"): Calculates and returns the halflife of the garch fit variance given a uGARCHfilter object.

uncmean

signature(object = "uGARCHfilter"): Calculates and returns the unconditional mean of the conditional mean equation (constant, ARMAX, arch-in-mean).

uncvariance

signature(object = "uGARCHfilter", pars = "missing", distribution = "missing", model = "missing", submodel = "missing"): Calculates and returns the long run unconditional variance of the garch filter given a uGARCHfilter object.

quantile

signature(x = "uGARCHfilter"): Calculates and returns, given a vector of probabilities (additional argument “probs”), the conditional quantiles of the filtered object (x).

pit

signature(object = "uGARCHfilter"): Calculates and returns the conditional probability integral transform given the data and estimated density.

plot

signature(x = "uGARCHfilter", y = "missing"): Filter plots

show

signature(object = "uGARCHfilter"): Filter summary.

Author

Alexios Ghalanos

Examples

if (FALSE) {
data(dji30ret)
ctrl = list(rho = 1, delta = 1e-8, outer.iter = 100, inner.iter = 650, 
tol = 1e-6)
spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1)), 
		mean.model = list(armaOrder = c(1,1), include.mean = TRUE), 
		distribution.model = "std")
sgarch.fit = ugarchfit(data = dji30ret[,"AA",drop=FALSE], spec = spec, 
		solver = "solnp", solver.control = ctrl)
		
spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1)), 
		mean.model = list(armaOrder = c(1,1), include.mean = TRUE), 
		distribution.model = "std", fixed.pars = as.list(coef(sgarch.fit)))
sgarch.filter = ugarchfilter(data = dji30ret[,"AA",drop=FALSE], spec = spec)

c(likelihood(sgarch.filter), likelihood(sgarch.fit))
c(uncmean(sgarch.filter), uncmean(sgarch.fit))
c(uncvariance(sgarch.filter), uncvariance(sgarch.fit))
}