spARCH

spARCH-class

The <code>spARCH</code> class is a class generated by the estimation functions <code>qml.spARCH</code> or <code>qml.SARspARCH</code> comprising the results of the quasi-maximum-likelihood estimation.

A collection of functions to deal with spatial and spatiotemporal autoregressive conditional heteroscedasticity (spatial ARCH and GARCH models) by Otto, Schmid, Garthoff (2018, Spatial Statistics) <doi:10.1016/j.spasta.2018.07.005>: simulation of spatial ARCH-type processes (spARCH, log/exponential-spARCH, complex-spARCH); quasi-maximum-likelihood estimation of the parameters of spARCH models and spatial autoregressive models with spARCH disturbances, diagnostic checks, visualizations.

Philipp Otto

spGARCH

Spatial ARCH and GARCH Models (spGARCH)

spARCH function

<dl>
 Several generic methods for summarizing the results are available:
 <dt><code>plot(spARCH_object)</code></dt>
<dd><code>plot.spARCH</code> - Descriptive plots for residuals of a fitted spatial ARCH model</dd> <dt><code>summary(spARCH_object)</code></dt>
<dd><code>summary.spARCH</code> - The function returns a summary of the model fit of a spatial ARCH model</dd> <dt><code>fitted(spARCH_object)</code></dt>
<dd><code>fitted.spARCH</code> - The function extracts the fitted values of a spatial ARCH model.</dd> 
</dl>

Methods

Output of Quasi-Maximum-Likelihood Estimation — spARCH

<dl>
 Several generic methods for summarizing the results are available:
 <dt><code>plot(spARCH_object)</code></dt>
<dd><code>plot.spARCH</code> - Descriptive plots for residuals of a fitted spatial ARCH model</dd>

 <dt><code>summary(spARCH_object)</code></dt>
<dd><code>summary.spARCH</code> - The function returns a summary of the model fit of a spatial ARCH model</dd>

 <dt><code>fitted(spARCH_object)</code></dt>
<dd><code>fitted.spARCH</code> - The function extracts the fitted values of a spatial ARCH model.</dd>

 
</dl>

spARCH: Output of Quasi-Maximum-Likelihood Estimation

Description

Arguments

Methods