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\name{volatility-methods}
\docType{methods}
\alias{volatility}% S3 method now
\alias{volatility.fGARCH}% S3 method now
\title{Extract GARCH model volatility}
\description{
Extracts volatility from a fitted GARCH object.
}
\usage{
\S3method{volatility}{fGARCH}(object, type = c("sigma", "h"), \dots)
}
\arguments{
\item{object}{
an object of class \code{"fGARCH"} as returned by
\code{\link{garchFit}()}.
}
\item{type}{
a character string denoting if the conditional standard deviations
\code{"sigma"} or the variances \code{"h"} should be returned.
}
\item{\dots}{currently not used.}
}
\details{
\code{volatility} is an S3 generic function for computation of
volatility, see \code{\link[fBasics]{volatility}} for the default
method.
The method for \code{"fGARCH"} objects, described here, extracts the
volatility from slot \code{@sigma.t} or \code{@h.t} of an
\code{"fGARCH"} object usually obtained from the function
\code{\link{garchFit}()}.
The class of the returned value depends on the input to the function
\code{garchFit} who created the object. The returned value is always
of the same class as the input object to the argument \code{data} in
the function \code{garchFit}, i.e. if you fit a \code{"timeSeries"}
object, you will get back from the function \code{fitted} also a
\code{"timeSeries"} object, if you fit an object of class
\code{"zoo"}, you will get back again a \code{"zoo"} object. The same
holds for a \code{"numeric"} vector, for a \code{"data.frame"}, and
for objects of class \code{"ts", "mts"}.
In contrast, the slot itself always contains a numeric vector,
independently of the class of the input data input, i.e. the function
call \code{slot(object, "fitted")} will return a numeric vector.
}
\author{
Diethelm Wuertz for the Rmetrics \R-port
}
\note{
(GNB) Contrary to the description of the returned value of the
\code{"fGARCH"} method, it is always \code{"numeric"}.
TODO: either implement the documented behaviour or fix the
documentation.
}
\section{Methods}{
Methods for \code{volatility} defined in package \pkg{fGarch}:
\describe{
\item{object = "fGARCH"}{
Extractor function for volatility or standard deviation from
an object of class \code{"fGARCH"}.
}
}
}
\seealso{
\code{\link{garchFit}},
class \code{\linkS4class{fGARCH}}
}
\examples{
## Swiss Pension fund Index -
stopifnot(require("timeSeries")) # need package 'timeSeries'
x <- as.timeSeries(data(LPP2005REC, package = "timeSeries"))
fit <- garchFit(LPP40 ~ garch(1, 1), data = 100*x, trace = FALSE)
fit
## volatility
## Standard Deviation:
vola <- volatility(fit, type = "sigma")
head(vola)
class(vola)
## Variance:
vola <- volatility(fit, type = "h")
head(vola)
class(vola)
## slot
vola <- slot(fit, "sigma.t")
head(vola)
class(vola)
vola <- slot(fit, "h.t")
head(vola)
class(vola)
}
\keyword{models}
|
