Extract GARCH Model Volatility

Description

Extracts volatility from a fitted GARCH object.

Usage

## S3 method for class 'fGARCH'
volatility(object, type = c("sigma", "h"), ...)

Arguments

Details

The function extracts the @volatility from the slots @sigma.t or @h.t of an object of class "fGARCH" as returned by the function garchFit.

The class of the returned value depends on the input to the function garchFit who created the object. The returned value is always of the same class as the input object to the argument data in the function garchFit, i.e. if you fit a "timeSeries" object, you will get back from the function fitted also a "timeSeries" object, if you fit an object of class "zoo", you will get back again a "zoo" object. The same holds for a "numeric" vector, for a "data.frame", and for objects of class "ts", "mts".

In contrast, the slot itself returns independent of the class of the data input always a numceric vector, i.e. the function call rslot(object, "fitted") will return a numeric vector.

Methods

object = "ANY"

Generic function.

object = "fGARCH"

Extractor function for volatility or standard deviation from an object of class "fGARCH".

Note

volatility is a generic function which extracts volatility values from objects returned by modeling functions.

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

Examples

## Swiss Pension func Index -
   x = as.timeSeries(data(LPP2005REC))
  
## garchFit
   fit = garchFit(LPP40 ~ garch(1, 1), data = 100*x, trace = FALSE)
   fit
   
## volatility - 
   # Standard Deviation:
   volatility = volatility(fit, type = "sigma")
   head(volatility)
   class(volatility)
   # Variance:
   volatility = volatility(fit, type = "h")
   head(volatility)
   class(volatility)
   
## slot - 
   volatility = slot(fit, "sigma.t")
   head(volatility)
   class(volatility)
   volatility = slot(fit, "h.t")
   head(volatility)
   class(volatility)