rugarch (version 1.0-3)

uGARCHfit-class: class: Univariate GARCH Fit Class

Description

Class for the univariate GARCH fit.

Objects from the Class

A virtual Class: No objects may be created from it.

Extends

Class GARCHfit, directly. Class rGARCH, by class GARCHfit, distance 2.

See Also

Classes uGARCHforecast, uGARCHsim and uGARCHspec.

Examples

# Basic GARCH(1,1) Spec
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec)
fit

# object fit:
slotNames(fit)
# sublist fit@fit
names(fit@fit)

coef(fit)
infocriteria(fit)
likelihood(fit)
nyblom(fit)
signbias(fit)
head(as.data.frame(fit))
head(sigma(fit))
head(residuals(fit))
head(fitted(fit))
gof(fit,c(20,30,40,50))
uncmean(fit)
uncvariance(fit)
#plot(fit,which="all")

# news impact example
spec = ugarchspec(variance.model=list(model="apARCH"))
fit = ugarchfit(data = dmbp[,1], spec = spec)
# note that newsimpact does not require the residuals (z) as it
# will discover the relevant range to plot against by using the min/max
# of the fitted residuals.
ni=newsimpact(z = NULL, fit)
#plot(ni$zx, ni$zy, ylab=ni$yexpr, xlab=ni$xexpr, type="l", main = "News Impact Curve")