class: Univariate GARCH Path Simulation Class

Description

Class for the univariate GARCH Path simulation.

Objects from the Class

A virtual Class: No objects may be created from it.

Extends

Class "uGARCHpath", directly. Class "rGARCH", by class "GARCHpath", distance 2.

Methods

as.data.frame

signature(x = "uGARCHpath"): extracts the simulated path values (see note).

plot

signature(x = "uGARCHpath", y = "missing"): path simulation plots.

show

signature(object = "uGARCHpath"): path simulation summary.

Note

The as.data.frame function takes optionally 1 additional arguments, namely which, indicating the type of simulation path series to extract. Valid values are “sigma” for the simulated sigma, “series” for the simulated series and “residuals” for the simulated residuals. The dimension of the data.frame will be n.sim by m.sim.

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHsim, uGARCHfit and uGARCHspec.