R Slotnames

class: Univariate GARCH Fit Class

Class for the univariate GARCH fit.

Note

If given an argument that is neither a character string nor a class definition, slotNames (only) uses class(x) instead. The definition of the class specifies all slots directly and indirectly defined for that class. Each slot has a name and an associated class. Cholesky 13 5 10 20 50 100 200 L (log scale) seconds (log scale).01.1 1 10 100 5 10 20 50 100 200 L (log scale) Mbytes (log scale) 1 10 100 1000 Time and memory usage for 101 Cholesky factorizations (solid). Derived from Middle High German retich, Middle Low German redik meaning 'radish', an occupational name for a grower or seller of radishes. REUTER (1) German. Names is a generic accessor function, and names.

Methods for coef, likelihood, fitted, sigma and residuals provide extractor functions for those values.Method for show gives detailed summary of GARCH fit with various tests.Method for plot provides for interactive choice of plots, option of choosinga particular plot (option “which” equal to a valid plot number) or a grand plot including all subplots on one page (option “which”=“all”).The infocriteria method calculates and returns the information criteria (AIC, BIC etc) of the GARCH fit.The nyblom method calculates and returns the Hansen-Nyblom joint and individual coefficient stability test statistic and critical values.The gof methods calculates and returns the adjusted goodness of fit statistic and p-values for the fitted distribution. The groups parameter is a numericvector of grouped bin sizes for the test. See the references in the package introduction for the original paper by Vlaar and Palm explaining the test.The signbias methods calculates and returns the sign bias test of Engle and Ng (see the references in the package introduction).Methods for calculating and extracting persistence, unconditional variance andhalf-life of the GARCH shocks exist and take either the GARCH fit object as a single value otherwise you may provide a named parameter vector (see '>uGARCHspec section for parameter names of the various GARCH models), a distribution name and the GARCH model (with submodel argument for the fGARCH model).Unconditional mean and variance of the model may be extracted by means of theuncmean and uncvariance methods. The uncvariance may take either a fit object ora named parameter list, distribution and GARCH model name. The uncmean will onlytake a fit object due to the complexity of the calculation requiring much moreinformation than the uncoditional variance.The news impact method returns a list with the calculated values (zx, zy) and the expression (xexpr, yexpr) which can be used to illustrate the plot.

Objects from the Class

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

Extends

Class '>GARCHfit, directly.Class '>rGARCH, by class '>GARCHfit, distance 2.

Slots

Object of class 'vector' Holds data on the fitted model.

Object of class 'vector' The model specification common to all objects.

Methods

signature(object = 'uGARCHfit'): Extracts the coefficients.

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 whetherto use the robust covariance matrix for the calculations.

signature(object = 'uGARCHfit'): Extracts the covariance matrix of the parameters. Additional logical option of ‘robust’ indicates whether to extract the robust based covariance matrix.

signature(object = 'uGARCHfit'): Calculates and returns various information criteria.

signature(object = 'uGARCHfit'): Calculates and returns the Hansen-Nyblom stability test (1990).

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.

signature(object = 'uGARCHfit'): Calculates and returns the news impact curve.

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

signature(object = 'uGARCHfit'): Extracts the likelihood.

signature(object = 'uGARCHfit'): Extracts the conditional sigma values.

signature(object = 'uGARCHfit'): Extracts the fitted values.

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

signature(object = 'uGARCHfit'): Extracts and returns the GARCH specification from a fit object.

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.

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.

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

signature(object = 'uGARCHfit', pars = 'missing', distribution = 'missing', model = 'missing'): Calculates and returns the persistence of the GARCH fit model given a '>uGARCHfit object.

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.

signature(object = 'uGARCHfit', pars = 'missing', distribution = 'missing', model = 'missing'): Calculates and returns the halflife of the GARCH fit variance given a '>uGARCHfit object.

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.

signature(object = 'uGARCHfit'): Returns the solver convergence code for the fitted object (zero denotesconvergence).

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

signature(object = 'uGARCHfit'): Calculates and returns the conditional probability integral transform given thedata and estimated density.

R Slotnames

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 passedto ugarchfit.An additional option “use.robust” (default TRUE) asks whether to use the robust calculated p-values.

signature(x = 'uGARCHfit', y = 'missing'): Fit plots.

signature(object = 'uGARCHfit'): Fit summary.

See Also

Classes '>uGARCHforecast, '>uGARCHsim and '>uGARCHspec.

Aliases

Setnames In R

• uGARCHfit-class
• residuals,uGARCHfit-method
• fitted,uGARCHfit-method
• vcov,uGARCHfit-method
• coef,uGARCHfit-method
• confint,uGARCHfit-method
• infocriteria,uGARCHfit-method
• infocriteria,ANY-method
• infocriteria
• nyblom,uGARCHfit-method
• nyblom,ANY-method
• nyblom
• getspec,uGARCHfit-method
• getspec,ANY-method
• getspec
• signbias,uGARCHfit-method
• signbias,ANY-method
• signbias-methods
• signbias
• sigma,uGARCHfit-method
• sigma,ANY-method
• sigma
• gof,ANY,ANY-method
• gof,uGARCHfit,numeric-method
• gof
• quantile,uGARCHfit-method
• pit,uGARCHfit-method
• pit,ANY-method
• pit
• likelihood,uGARCHfit-method
• likelihood,ANY-method
• likelihood
• newsimpact,ANY-method
• newsimpact,uGARCHfit-method
• newsimpact
• halflife,ANY,ANY,ANY,ANY,ANY-method
• halflife,missing,numeric,character,character,ANY-method
• halflife,uGARCHfit,missing,missing,missing,missing-method
• halflife
• persistence,ANY,ANY,ANY,ANY,ANY-method
• persistence,missing,numeric,character,character,ANY-method
• persistence,uGARCHfit,missing,missing,missing,missing-method
• persistence
• uncvariance,ANY,ANY,ANY,ANY,ANY,ANY-method
• uncvariance,missing,numeric,character,character,ANY,ANY-method
• uncvariance,uGARCHfit,missing,missing,missing,missing,missing-method
• uncvariance
• uncmean,uGARCHfit-method
• uncmean,ANY-method
• uncmean
• convergence,uGARCHfit-method
• convergence,ANY-method
• convergence
• reduce,uGARCHfit-method
• reduce,ANY-method
• reduce
• plot,uGARCHfit,missing-method
• show,uGARCHfit-method