Extracts each regime from a fitted multiple regime specificaton and creates a fitted object for each extracted regime.
ExtractStateFit(object)# S3 method for MSGARCH_ML_FIT
ExtractStateFit(object)
# S3 method for MSGARCH_MCMC_FIT
ExtractStateFit(object)
A list of K elements where each element is a fit object of type MSGARCH_ML_FIT or
MSGARCH_MCMC_FIT.
Fit object of type MSGARCH_ML_FIT
created with FitML or MSGARCH_MCMC_FIT
created with FitMCMC.
# create model specification
spec <- CreateSpec()
# load data
data("SMI", package = "MSGARCH")
# fit the model on the data with ML estimation
fit <- FitML(spec = spec, data = SMI)
SR.fit <- ExtractStateFit(fit)
print(SR.fit)
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