Methods for Fitted GARCH Models
Methods for fitted GARCH model objects, typically the result of a call
## S3 method for class 'garch': predict(object, newdata, genuine = FALSE, \dots) ## S3 method for class 'garch': coef(object, \dots) ## S3 method for class 'garch': residuals(object, \dots) ## S3 method for class 'garch': fitted(object, \dots) ## S3 method for class 'garch': print(x, digits = max(3, getOption("digits") - 3), ...) ## S3 method for class 'garch': plot(x, ask = interactive(), ...)
- object, x
- an object of class
"garch"; usually, a result of a call to
- a numeric vector or time series to compute GARCH
predictons. Defaults to
- a logical indicating whether a genuine prediction should be made, i.e., a prediction for which there is no target observation available.
- digits, signif.stars
- Should the
plotmethod work interactively? See
- further arguments passed to or from other methods.
predict returns +/- the conditional standard deviation
predictions from a fitted GARCH model.
coef returns the coefficient estimates.
residuals returns the GARCH residuals, i.e., the time series
used to fit the model divided by the computed conditional standard
deviation predictions for this series. Under the assumption of
conditional normality the residual series should be i.i.d. standard
fitted returns +/- the conditional standard deviation
predictions for the series which has been used to fit the model.
plot graphically investigates normality and remaining ARCH
effects for the residuals.
predicta bivariate time series (two-column matrix) of predictions. For
coef, a numeric vector, for
fitteda univariate (vector) and a bivariate time series (two-column matrix), respectively.