summary.garch
From tseries v0.8-3
by Kurt Hornik
Summarizing GARCH Model Fits
Methods for creating and printing summaries of GARCH model fits.
Usage
## S3 method for class 'garch':
summary(object, \dots)
## S3 method for class 'summary.garch':
print(x, digits = max(3, getOptions("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
print.coefmat
. - ...
- 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.
See Also
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