Unconditional value of a GARCH model variance.
# S3 method for tsgarch.estimate
unconditional(object, ...)# S3 method for tsgarch.spec
unconditional(object, ...)
A numeric vector of length 1 of the unconditional variance of the model.
an object of class “tsgarch.estimate” or “tsgarch.spec”.
not currently used.
For some models, there is no closed form solution available for the unconditional variance of higher order model (e.g. GARCH(2,1)) in which case a simulation based approach is adopted to approximate the value.