formula-methods            package:fGarch            R Documentation

_E_x_t_r_a_c_t _G_A_R_C_H _M_o_d_e_l _f_o_r_m_u_l_a

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

     Extracts formula from a formula GARCH object.

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

     The function extracts the '@formula' expression slot from  an
     object of class '"fGARCH"' as returned by the function 'garchFit'. 

     Note, the returned formula has always a left hand  side. If the
     argument 'data' was an univariate time series and no name was
     specified to the series, then the left hand side  has assigned the
     name of the data.set. In the multivariate case the rectangular
     'data' object must always have column names, otherwise the fitting
     will be stopped and you get the error  message  

     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 formula expression.


_N_o_t_e:

     'formula' is a generic function which extracts the formula
     expression 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:

     ## garchFit -
        fit = garchFit(~garch(1, 1), data = garchSim())
        
     ## formula - 
        formula(fit)

     ## A Bivariate series and mis-specified formula:
        x = garchSim(n = 500)
        y = garchSim(n = 500)
        z = cbind(x, y)
        colnames(z)
        class(z)
        ## Not run: 
        garchFit(z ~garch(1, 1), data = z, trace = FALSE)
        
     ## End(Not run)
        # Returns:
        # Error in .garchArgsParser(formula = formula, data = data, trace = FALSE) :  
        #   Formula and data units do not match.
        
     ## Doubled column names in data set - formula can't fit:
        colnames(z) <- c("x", "x")
        z[1:6,]
        ## Not run: 
        garchFit(x ~garch(1, 1), data = z, trace = FALSE)
        
     ## End(Not run)
        # Again the error will be noticed:
        # Error in garchFit(x ~ garch(1, 1), data = z) : 
        #   Column names of data are not unique.

     ## Missing column names in data set - formula can't fit:
        z.mat <- as.matrix(z)
        colnames(z.mat) <- NULL
        z.mat[1:6,]
        ## Not run: 
        garchFit(x ~ garch(1, 1), data = z.mat, trace = FALSE)
        
     ## End(Not run)
        # Again the error will be noticed:
        # Error in .garchArgsParser(formula = formula, data = data, trace = FALSE) : 
        #   Formula and data units do not match

