Class for the univariate GARCH rolling forecast.
forecast:Object of class "vector"
model:Object of class "vector"
Class "GARCHroll", directly.
Class "rGARCH", by class "GARCHroll", distance 2.
signature(x = "uGARCHroll"):
Extracts various values from object (see note).
signature(x = "uGARCHroll", y = "missing"):
Roll result backtest plots (see note).
signature(object = "uGARCHroll"):
Roll backtest reports (see note).
signature(object = "uGARCHroll"):
Resumes a rolling backtest which has non-converged windows using
alternative solver and control parameters.
signature(object = "uGARCHroll"):
Forecast performance measures.
signature(object = "uGARCHroll"):
Extracts the list of coefficients for each estimated window in the
rolling backtest.
signature(x = "uGARCHroll"):
Calculates and returns, given a vector of probabilities (additional argument
“probs”), the conditional quantiles of the rolling object as an
xts matrix.
signature(object = "uGARCHroll"):
Calculates and returns the conditional probability integral transform given the
realized data and forecast density.
signature(object = "uGARCHroll"):
Returns the convergence code for the estimation windows, with 0 indicating
that all have converged and 1 that there were non-converged windows. In
the latter case the ‘nonconverged’ attribute is also printed of those
windows which failed to converge.
signature(object = "uGARCHroll"):
Summary.
Alexios Ghalanos