summary.garch
Summarizing GARCH Model Fits
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 togarch
.- 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.
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
.
Value
A list of class "summary.garch"
.
References
T. Bollerslev (1986): Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 31, 307--327.