sigma.tsissm.estimate {tsissm}R Documentation

The Standard Deviation of the model

Description

The Standard Deviation of the model

Usage

## S3 method for class 'tsissm.estimate'
sigma(object, ...)

Arguments

object

an object of class “tsissm.estimate”.

...

none.

Value

If the model was estimated using dynamic variance (GARCH model), then an xts matrix is returned with the estimated GARCH volatility else the estimated standard deviation of the residuals in the case of constant variance.


[Package tsissm version 1.0.2 Index]