sigma,fEGarch_fit-method {fEGarch} | R Documentation |
Extract Fitted Conditional Standard Deviations
Description
An alternative to sigt,fEGarch_fit-method
to extract
fitted conditional standard deviations from an estimation object
in this package.
Usage
## S4 method for signature 'fEGarch_fit'
sigma(object)
## S4 method for signature 'fEGarch_forecast'
sigma(object)
Arguments
object |
an object either of class |
Details
Extract fitted conditional standard deviations from an estimation object in this package.
Value
The element within the input object with name sigt
is returned.
Depending on the element that can be a numeric vector, an object of
class "zoo" or a numeric matrix.
Examples
window.zoo <- get("window.zoo", envir = asNamespace("zoo"))
rt <- window.zoo(SP500, end = "2002-12-31")
model <- fEGarch(egarch_spec(), rt, n_test = 250)
sigma(model)
[Package fEGarch version 1.0.1 Index]