fGARCH-class             package:fGarch             R Documentation

_C_l_a_s_s "_f_G_A_R_C_H"

_D_e_s_c_r_i_p_t_i_o_n:

     The class fGARCH represents a model of an heteroskedastic time
     series process.

_O_b_j_e_c_t_s _f_r_o_m _t_h_e _C_l_a_s_s:

     Objects can be created by calls of the function 'garchFit'. This
     object is a parameter estimate of an empirical GARCH process.

_S_l_o_t_s:



     '_c_a_l_l': Object of class '"call"':  the call of the 'garch'
          function. 

     '_f_o_r_m_u_l_a': Object of class '"formula"':  a formula object
          specifying mean and variance equation.

     '_m_e_t_h_o_d': Object of class '"character"':  a string denoting the
          optimization method, by default the  returneds string is "Max
          Log-Likelihood Estimation".

     '_d_a_t_a': Object of class '"list"':  a list with one entry named
          'x', containing the data of the time series to be estimated,
          the same as given by the input argument 'series'.

     '_f_i_t': Object of class '"list"':  a list with the results from the
          parameter estimation. The entries of the list depend on the
          selected algorithm, see below.

     '_r_e_s_i_d_u_a_l_s': Object of class '"numeric"':  a numeric vector with
          the residual values.

     '_f_i_t_t_e_d': Object of class '"numeric"':  a numeric vector with the
          fitted values.

     '_h._t': Object of class '"numeric"':  a numeric vector with the
          conditional variances.

     '_s_i_g_m_a._t': Object of class '"numeric"':  a numeric vector with the
          conditional standard deviations.

     '_t_i_t_l_e': Object of class '"character"':  a title string.

     '_d_e_s_c_r_i_p_t_i_o_n': Object of class '"character"':  a string with a
          brief description.


_M_e_t_h_o_d_s:



     _p_l_o_t 'signature(x = "fGARCH", y = "missing)':  plots an object of
          class 'fGARCH'.

     _s_h_o_w 'signature(object = "fGARCH")':  prints an object of class
          'fGARCH'. 

     _s_u_m_m_a_r_y 'signature(object = "fGARCH")':  summarizes an object of
          class 'fGARCH'.

     _p_r_e_d_i_c_t 'signature(object = "fGARCH")':  forecasts mean and
          volatility from an object of class 'fGARCH'.

     _f_i_t_t_e_d 'signature(object = "fGARCH")':  extracts fitted values
          from an object of class 'fGARCH'. 

     _r_e_s_i_d_u_a_l_s 'signature(object = "fGARCH")':  extracts fresiduals
          from an object of class 'fGARCH'.

     _v_o_l_a_t_i_l_i_t_y 'signature(object = "fGARCH")':  extracts conditional
          volatility from an object of class 'fGARCH'.

     _c_o_e_f 'signature(object = "fGARCH")':  extracts fitted coefficients
          from an object of class 'fGARCH'.

     _f_o_r_m_u_l_a 'signature(x = "fGARCH")':  extracts formula expression
          from an object of class 'fGARCH'. 


_A_u_t_h_o_r(_s):

     Diethelm Wuertz and Rmetrics Core Team.

