Description

Class for the univariate GARCH Multiple filter.

Extends

Class "GARCHfilter", directly. Class "rGARCH", by class "GARCHfilter", distance 3.

Methods

fitted

signature(object = "uGARCHmultifilter"): Extracts the fitted values.

residuals

signature(object = "uGARCHmultifilter"): Extracts the residuals. Optional logical argument standardize (default is FALSE) allows to extract the standardized residuals.

sigma

signature(object = "uGARCHmultifilter"): Extracts the conditional sigma values.

coef

signature(object = "uGARCHmultifilter"): Extracts the coefficients.

likelihood

signature(object = "uGARCHmultifilter"): Extracts the likelihood.

show

signature(object = "uGARCHmultifilter"): Filter summary.

Author(s)

Alexios Ghalanos

See Also

Classes uGARCHmultiforecast, uGARCHmultifit and uGARCHmultispec.