robustGARCH-summary {robustGarch} | R Documentation |
Summary for robustGARCH class
Description
Summarizes the results of a robust GARCH(1,1) model fit by extracting key model components.
Usage
## S3 method for class 'robustGARCH'
summary(object, digits = 3, ...)
## S3 method for class 'robustGARCH'
print(x, digits = 3, ...)
## S3 method for class 'robustGARCH'
plot(
x,
digits = 3,
estimation_pos = "topleft",
line_name_pos = "topright",
par_ = par(no.readonly = TRUE),
pctReturn_ = TRUE,
abs_ = TRUE,
original_ = FALSE,
main_name = "Conditional Volatility (vs |pctReturns(%)|)",
...
)
## S3 method for class 'robustGARCH'
coef(object, ...)
aef(fit, nu = 5)
Arguments
object |
Same as fit, for summary.robustGARCH |
digits |
the number of digits for print and plot, default is 3. |
... |
# to be written |
x |
Same as fit, for plot.robustGARCH and print.robustGARCH |
estimation_pos |
string that determines the legend position that specifies gamma, alpha, beta estimations. Choice of "bottomright", "bottom", "bottomleft", "left", "topleft", "top", "topright", "right" and "center". Default is "topleft". |
line_name_pos |
string that determines the legend position that specifies the names of lines in the plot. Choice of "bottomright", "bottom", "bottomleft", "left", "topleft", "top", "topright", "right" and "center". Default is "topright". |
par_ |
graphical parameters that can be set, which is in the form of par(...). The default is par(no.readonly = TRUE). |
pctReturn_ |
a logical argument. IF TRUE, the plot function will plot the returns in percentage instead of original. Default is TRUE. |
abs_ |
a logical argument, when TRUE, the plot function will plot abs(returns) with conditional standard deviation instead of returns, default to TRUE. |
original_ |
a logical argument. If TRUE, the original return will be plotted. Default is FALSE |
main_name |
the title of the plot, default is "Conditional SD (vs returns)" |
fit |
A robustGARCH fit object of class |
nu |
degrees of freedom in a Student's t-distribution. |
Value
A list of class "summary.robustGARCH"
containing:
method |
The fitting method used (e.g., "BM", "M", "QML", or "MLE"). |
coefficients |
Named vector of parameter estimates. |
loglikelihood |
The value of the objective function at convergence. |
converged |
Logical; indicates whether the optimizer converged successfully. |
Examples
if (requireNamespace("PCRA", quietly = TRUE)) {
library(robustGarch)
ret <- PCRA::retOFG
ret <- ret$RET
(robFitBM <- robGarch(ret, fitMethod = "BM"))
sum(robFitBM$fitted_pars[2:3])
summary(robFitBM)
print(robFitBM)
plot(robFitBM)
coef(robFitBM)
} else {
message("Run install.packages('PCRA') to run this example.")
}