Extracts volatility, here from a fitted GARCH object. This is a
method (see methods) for the S3 generic function
volatility (we import and re-export) from
package fBasics.
volatility(object, ...)
# S3 method for fGARCH
volatility(object, type = c("sigma", "h"), ...)
an object of class fGARCH as returned by garchFit().
a character string denoting if the conditional standard
deviations "sigma" or the variances "h" should
be returned.
additional arguments to be passed.
Generic function.
Extractor function for volatility or standard deviation from
an object of class "fGARCH".
Diethelm Wuertz for the Rmetrics R-port.
The function extracts the @volatility from the slots
@sigma.t or @h.t of an object of class "fGARCH"
as returned by the function garchFit().
The class of the returned value depends on the input to the
function garchFit who created the object. The returned
value is always of the same class as the input object to the
argument data in the function garchFit, i.e. if
you fit a "timeSeries" object, you will get back from
the function fitted also a "timeSeries" object,
if you fit an object of class "zoo", you will get back
again a "zoo" object. The same holds for a "numeric"
vector, for a "data.frame", and for objects of class
"ts", "mts".
In contrast, the slot itself returns independent of the class
of the data input always a numeric vector, i.e. the function
call rslot(object, "fitted") will return a numeric vector.
## Swiss Pension fund Index -
stopifnot(require("timeSeries")) # need package 'timeSeries'
x = as.timeSeries(data(LPP2005REC))
## garchFit
fit = garchFit(LPP40 ~ garch(1, 1), data = 100*x, trace = FALSE)
fit
## volatility -
# Standard Deviation:
vola = volatility(fit, type = "sigma")
head(vola)
class(vola)
# Variance:
vola = volatility(fit, type = "h")
head(vola)
class(vola)
## slot -
vola = slot(fit, "sigma.t")
head(vola)
class(vola)
vola = slot(fit, "h.t")
head(vola)
class(vola)
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