fitted-methods            package:fGarch            R Documentation

_E_x_t_r_a_c_t _G_A_R_C_H _M_o_d_e_l _F_i_t_t_e_d _V_a_l_u_e_s

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

     Extracts fitted values from a fitted GARCH object.

_D_e_t_a_i_l_s:

     The function extracts the '@fitted' value slot from 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
     r'slot(object, "fitted")' will return a numeric vector.

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



     _o_b_j_e_c_t = "_A_N_Y" Generic function. 

     _o_b_j_e_c_t = "_f_G_A_R_C_H" Extractor function for fitted values.


_N_o_t_e:

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

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

     Diethelm Wuertz for the Rmetrics R-port.

_E_x_a_m_p_l_e_s:

     ## Swiss Pension fund Index -
        x = as.timeSeries(data(LPP2005REC))
       
     ## garchFit - 
        # Fit LPP40 Bechmark:
        fit = garchFit(LPP40 ~ garch(1, 1), data = 100*x, trace = FALSE)
        fit
        
     ## fitted - 
        # Fitted values are now a "timeSeries" oject:
        fitted = fitted(fit)
        head(fitted)
        class(fitted)
        
     ## slot - 
        # The slot contains a numeric Vector:
        fitted = slot(fit, "fitted")
        head(fitted)
        class(fitted)

