geovol (version 1.0)

coef.geovol: Extraction functions for a 'geovol' object

Description

Extraction functions for objects of class 'geovol'.

Usage

# S3 method for geovol
coef(object, as.zoo = TRUE, ...)
  # S3 method for geovol
fitted(object, as.zoo = TRUE, ...)
  # S3 method for geovol
logLik(object, ...)
  # S3 method for geovol
nobs(object, ...)
  # S3 method for geovol
print(x, n.extreme = 20, ...)
  # S3 method for geovol
residuals(object, as.zoo = TRUE, ...)

Arguments

object

an object of class 'geovol'.

x

an object of class 'geovol'.

as.zoo

logical. If TRUE, then the returned result is of class zoo.

n.extreme

integer indicating the n.extreme most extreme GEOVOL events to be printed.

…

additional arguments.

Value

coef:

numeric vector containing parameter estimates.

fitted:

fitted (squared) GEOVOL time series.

logLik:

log-likelihood (normal density).

nobs:

the number of observations used in the estimation.

print:

print of the estimation results.

residuals:

GEOVOL standardised residuals.

References

Engle, R.F. and Campos-Martins, S. (2020) Measuring and hedging geopolitical risk. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3685213.

See Also

geovol, geovolSim, zoo

Examples

# NOT RUN {
set.seed(123)

## Simulate from a GEOVOL model (default):
eSim <- geovolSim(n = 1000,  m = 30)

## Test for GEOVOL
eTest <- geovolTest(e = eSim^2)

## Estimate a GEOVOL model:
geovolEst <- geovol(e = eSim)

## Print estimation results:
print(geovolEst)

## Extract coefficients:
coef(geovolEst)

## Extract and store GEOVOL:
sigma2Est <- fitted(geovolEst)

## Extract optimised log-likelihood values:
logLik(geovolEst)

## Extract and store GEOVOL standardised residuals:
etaEst <- residuals(geovolEst)
# }