Class for the univariate GARCH specification.
Class "GARCHspec", directly.
Class "rGARCH", by class "GARCHspec", distance 2.
model:Object of class "vector"
The model specification common to all objects.
signature(object = "uGARCHspec"):
Specification summary.
signature(object = "uGARCHspec", value = "vector"):
Sets the fixed parameters (which must be supplied as a named list).
signature(object = "uGARCHspec", value = "vector"):
Sets the starting parameters (which must be supplied as a named list).
signature(object = "uGARCHspec", value = "vector"):
Sets the parameters lower and upper bounds, which must be supplied as a named
list with each parameter being a numeric vector of length 2 i.e.
"alpha1"=c(0,1)). If the vector is of length 1, then this is assumed to be
the lower bound, and the upper bound will be set to its default value prior
to estimation. Some of the parameters in the fGARCH model are not allowed to
take on custom bounds (since they determine the class of the model) nor the
beta parameter(s) in the iGARCH model.
signature(object = "uGARCHspec"):
Unconditional mean of model for a specification with fixed.pars list.
signature(object = "uGARCHspec"):
Unconditional variance of model for a specification with fixed.pars list.
signature(object = "uGARCHspec", pars = "missing",
distribution = "missing", model = "missing", submodel = "missing",
vexdata = "missing"):
Calculates and returns the long run unconditional variance of the GARCH fit
given a uGARCHfit object.
signature(object = "uGARCHspec", pars = "missing",
distribution = "missing", model = "missing"):
Calculates and returns the halflife of the GARCH fit variance given a
uGARCHspec object with fixed parameters.
signature(object = "uGARCHfit", pars = "missing",
distribution = "missing", model = "missing"):
Calculates and returns the persistence of the GARCH fit model given a
uGARCHspec object with fixed parameters.
Alexios Ghalanos
Classes uGARCHfit, uGARCHsim and
uGARCHforecast.
# Basic GARCH(1,1) Spec
spec = ugarchspec()
spec
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