class: Univariate GARCH Specification Class

Description

Class for the univariate GARCH specification.

Extends

Class "GARCHspec", directly. Class "rGARCH", by class "GARCHspec", distance 2.

Slots

model:

Object of class "vector" The model specification common to all objects.

Methods

show

signature(object = "uGARCHspec"): Specification summary.

setfixed<-

signature(object = "uGARCHspec", value = "vector"): Sets the fixed parameters (which must be supplied as a named list).

setstart<-

signature(object = "uGARCHspec", value = "vector"): Sets the starting parameters (which must be supplied as a named list).

uncmean

signature(object = "uGARCHspec"): Unconditional mean of model for a specification with fixed.pars list.

uncvariance

signature(object = "uGARCHspec"): Unconditional variance of model for a specification with fixed.pars list.

uncvariance

signature(object = "uGARCHspec", pars = "missing", distribution = "missing", model = "missing", submodel = "missing", vexdata = "missing"): Calculates and returns the long run unconditional variance of the GARCH fit given a uGARCHfit object.

halflife

signature(object = "uGARCHspec", pars = "missing", distribution = "missing", model = "missing"): Calculates and returns the halflife of the GARCH fit variance given a uGARCHspec object with fixed parameters.

persistence

signature(object = "uGARCHfit", pars = "missing", distribution = "missing", model = "missing"): Calculates and returns the persistence of the GARCH fit model given a uGARCHspec object with fixed parameters.

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHfit, uGARCHsim and uGARCHforecast.

Examples

# Basic GARCH(1,1) Spec
spec = ugarchspec()
spec