halflife.tsgarch.estimate: Half Life
Description
Calculates and returns the half-life of a model.
Usage
# S3 method for tsgarch.estimate
halflife(object, ...)
Value
a numeric value representing the half life in periods based on the
frequency of the underlying data.
Arguments
- object
an object.
- ...
not currently used.
Details
The half life is defined as the period it
takes a series to reach half its long-term average values. For a GARCH model
this is defined as \(log(0.5)/log(P)\) where P is the persistence.