robustGarch (version 0.4.2)

robustGARCH-summary: Summary for robustGARCH class

Description

Summarizes the results of a robust GARCH(1,1) model fit by extracting key model components.

Usage

# S3 method for robustGARCH
summary(object, digits = 3, ...)
# S3 method for robustGARCH
print(x, digits = 3, ...)
# S3 method for robustGARCH
plot(
  x,
  digits = 3,
  estimation_pos = "topleft",
  line_name_pos = "topright",
  par_ = par(no.readonly = TRUE),
  pctReturn_ = TRUE,
  abs_ = TRUE,
  original_ = FALSE,
  main_name = "Conditional Volatility (vs |pctReturns(%)|)",
  ...
)
# S3 method for robustGARCH
coef(object, ...)
aef(fit, nu = 5)

Value

A list of class "summary.robustGARCH" containing:

method

The fitting method used (e.g., "BM", "M", "QML", or "MLE").

coefficients

Named vector of parameter estimates.

loglikelihood

The value of the objective function at convergence.

converged

Logical; indicates whether the optimizer converged successfully.

Arguments

object

Same as fit, for summary.robustGARCH

digits

the number of digits for print and plot, default is 3.

...

# to be written

x

Same as fit, for plot.robustGARCH and print.robustGARCH

estimation_pos

string that determines the legend position that specifies gamma, alpha, beta estimations. Choice of "bottomright", "bottom", "bottomleft", "left", "topleft", "top", "topright", "right" and "center". Default is "topleft".

line_name_pos

string that determines the legend position that specifies the names of lines in the plot. Choice of "bottomright", "bottom", "bottomleft", "left", "topleft", "top", "topright", "right" and "center". Default is "topright".

par_

graphical parameters that can be set, which is in the form of par(...). The default is par(no.readonly = TRUE).

pctReturn_

a logical argument. IF TRUE, the plot function will plot the returns in percentage instead of original. Default is TRUE.

abs_

a logical argument, when TRUE, the plot function will plot abs(returns) with conditional standard deviation instead of returns, default to TRUE.

original_

a logical argument. If TRUE, the original return will be plotted. Default is FALSE

main_name

the title of the plot, default is "Conditional SD (vs returns)"

fit

A robustGARCH fit object of class robGarch

nu

degrees of freedom in a Student's t-distribution.

Examples

if (requireNamespace("PCRA", quietly = TRUE)) {
  library(robustGarch)
  
  ret <- PCRA::retOFG
  ret <- ret$RET
  
  (robFitBM <- robGarch(ret, fitMethod = "BM"))
  
  sum(robFitBM$fitted_pars[2:3])
  summary(robFitBM)
  print(robFitBM)
  plot(robFitBM)
  coef(robFitBM)
} else {
  message("Run install.packages('PCRA') to run this example.")
}