summary.tsgarch.estimate

summary

Summary method for class &#8220;tsgarch.estimate&#8221;

Multiple flavors of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with a large choice of conditional distributions. Methods for specification, estimation, prediction, filtering, simulation, statistical testing and more. Represents a partial re-write and re-think of 'rugarch', making use of automatic differentiation for estimation.

Alexios Ghalanos

tsgarch

Univariate GARCH Models

Alexios Galanos

summary.tsgarch.estimate function

<dl><dt>object</dt>
<dd>an object of class &#8220;tsgarch.estimate&#8221;.</dd>
<dt>digits</dt>
<dd>integer, used for number formatting. Optionally, to avoid
scientific notation, set &#8216;options(scipen=999)&#8217;.</dd>
<dt>vcov_type</dt>
<dd>the type of standard errors based on the vcov estimate (see <code><a href="/link/vcov?package=tsgarch&version=1.0.3" data-mini-rdoc="tsgarch::vcov">vcov</a></code>).</dd>
<dt>include_persistence</dt>
<dd>whether to include the estimate of the persistence and
its calculated standard errors (calculated using the <code>sdreport</code>)
in the output.</dd>
<dt>...</dt>
<dd>not currently used.</dd></dl>

Arguments

GARCH Model Estimation Summary — summary.tsgarch.estimate

<dl>

<dt>object</dt>
<dd>an object of class &#8220;tsgarch.estimate&#8221;.</dd>


<dt>digits</dt>
<dd>integer, used for number formatting. Optionally, to avoid
scientific notation, set &#8216;options(scipen=999)&#8217;.</dd>


<dt>vcov_type</dt>
<dd>the type of standard errors based on the vcov estimate (see <code><a href='https://rdrr.io/r/stats/vcov.html'>vcov</a></code>).</dd>


<dt>include_persistence</dt>
<dd>whether to include the estimate of the persistence and
its calculated standard errors (calculated using the <code>sdreport</code>)
in the output.</dd>


<dt>...</dt>
<dd>not currently used.</dd>

</dl>

summary.tsgarch.estimate: GARCH Model Estimation Summary

Description

Usage

Value

Arguments