rugarch (version 1.0-16)

uGARCHfilter-class: class: Univariate GARCH Filter Class

Description

Class for the univariate GARCH filter.

Extends

Class "GARCHfilter", directly. Class "rGARCH", by class "GARCHfilter", distance 2.

Examples

data(dji30ret)
ctrl = list(rho = 1, delta = 1e-8, outer.iter = 100, inner.iter = 650, 
tol = 1e-6)
spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1)), 
		mean.model = list(armaOrder = c(1,1), include.mean = TRUE), 
		distribution.model = "std")
sgarch.fit = ugarchfit(data = dji30ret[,"AA",drop=FALSE], spec = spec, 
		solver = "solnp", solver.control = ctrl)
		
spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1)), 
		mean.model = list(armaOrder = c(1,1), include.mean = TRUE), 
		distribution.model = "std", fixed.pars = as.list(coef(sgarch.fit)))
sgarch.filter = ugarchfilter(data = dji30ret[,"AA",drop=FALSE], spec = spec)

c(likelihood(sgarch.filter), likelihood(sgarch.fit))
c(uncmean(sgarch.filter), uncmean(sgarch.fit))
c(uncvariance(sgarch.filter), uncvariance(sgarch.fit))