R: Summarizing GARCH Model Fits

summary.garch {tseries}

R Documentation

Summarizing GARCH Model Fits

Description

Methods for creating and printing summaries of GARCH model fits.

Usage

## S3 method for class 'garch'
summary(object, ...)
## S3 method for class 'summary.garch'
print(x, digits = max(3, getOption("digits") - 3),
      signif.stars = getOption("show.signif.stars"), ...)

Arguments

`object`	an object of class `"garch"`; usually, a result of a call to `garch`.
`x`	an object of class `"summary.garch"`; usually, a result of a call to the summary method for objects of class `"garch"`.
`digits, signif.stars`	see `printCoefmat`.
`...`	further arguments passed to or from other methods.

Details

summary computes the asymptotic standard errors of the coefficient estimates from an outer-product approximation of the Hessian evaluated at the estimates, see Bollerslev (1986). It furthermore tests the residuals for normality and remaining ARCH effects, see jarque.bera.test and Box.test.

Value

A list of class "summary.garch".

References

T. Bollerslev (1986): Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 31, 307–327.