summary.garch

From tseries v0.10-47 by Kurt Hornik

Summarizing GARCH Model Fits

Methods for creating and printing summaries of GARCH model fits.

Keywords: models, ts

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.

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.

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