tseries (version 0.10-40)

summary.garch: Summarizing GARCH Model Fits

Description

Methods for creating and printing summaries of GARCH model fits.

Usage

# S3 method for garch
summary(object, …)
# S3 method for summary.garch
print(x, digits = max(3, getOption("digits") - 3),
      signif.stars = getOption("show.signif.stars"), …)

Arguments

object

an object of class "garch"; usually, a result of a call to garch.

x

an object of class "summary.garch"; usually, a result of a call to the summary method for objects of class "garch".

digits, signif.stars

see printCoefmat.

…

further arguments passed to or from other methods.

Value

A list of class "summary.garch".

Details

summary computes the asymptotic standard errors of the coefficient estimates from an outer-product approximation of the Hessian evaluated at the estimates, see Bollerslev (1986). It furthermore tests the residuals for normality and remaining ARCH effects, see jarque.bera.test and Box.test.

References

T. Bollerslev (1986): Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 31, 307--327.

See Also

garch