R语言 rugarch包 uGARCHfit-class()函数中文帮助文档(中英文对照)

loveR · 发表于 2012-9-28 23:38:56

uGARCHfit-class(rugarch)
uGARCHfit-class()所属R语言包：rugarch

 class: Univariate GARCH Fit Class
 单变量GARCH类：适合类

 译者：生物统计家园网机器人LoveR

描述----------Description----------

Class for the univariate GARCH fit.
一类单变量GARCH配合。

类对象----------Objects from the Class----------

A virtual Class: No objects may be created from it.
可能会从它创建一个虚拟类：没有对象。

扩展----------Extends----------

Class GARCHfit, directly. Class rGARCH, by class GARCHfit, distance 2.
类GARCHfit，直接。类rGARCH类GARCHfit，距离2。

插槽----------Slots----------

fit: Object of class "vector"
fit：对象类"vector"的

model: Object of class "vector"
model：对象类"vector"的

方法----------Methods----------

as.data.frame signature(x = "uGARCHfit"): Extracts the position (dates), data, fitted values, residuals and conditional
as.data.framesignature(x = "uGARCHfit")：提取物的位置（日期），数据，拟合值，残差和条件

coef signature(object = "uGARCHfit"):
系数signature(object = "uGARCHfit")：

vcov signature(object = "uGARCHfit"): Extracts the covariance matrix of the parameters. Additional logical option of
vcov signature(object = "uGARCHfit")：提取参数的协方差矩阵。额外的逻辑选项

infocriteria signature(object = "uGARCHfit"):
infocriteriasignature(object = "uGARCHfit")：

nyblom signature(object = "uGARCHfit"):
nyblomsignature(object = "uGARCHfit")：

gof signature(object = "uGARCHfit", groups = "numeric"): Calculates and returns the adjusted goodness of fit statistic and p-values for the fitted distribution based on the Vlaar and Palm paper (1993). Groups is
GOFsignature(object = "uGARCHfit", groups = "numeric")：调整后的善良的拟合统计量和p值的拟合分布的Vlaar和掌讯通（1993）的基础上计算并返回。组是

newsimpact signature(object = "uGARCHfit"):
newsimpactsignature(object = "uGARCHfit")：

signbias signature(object = "uGARCHfit"):
signbiassignature(object = "uGARCHfit")：

likelihood signature(object = "uGARCHfit"):
可能性signature(object = "uGARCHfit")：

sigma signature(object = "uGARCHfit"):
SIGMAsignature(object = "uGARCHfit")：

fitted signature(object = "uGARCHfit"):
安装signature(object = "uGARCHfit")：

residuals signature(object = "uGARCHfit"):
残差signature(object = "uGARCHfit")：

getspec signature(object = "uGARCHfit"):
getspecsignature(object = "uGARCHfit")：

uncvariance signature(object = "uGARCHfit", pars = "missing", distribution="missing", model = "missing", vexdata = "missing"): Calculates and returns the long run unconditional variance of the GARCH fit
uncvariance signature(object = "uGARCHfit", pars = "missing", distribution="missing", model = "missing", vexdata = "missing")：计算并返回从长远来看无条件方差的GARCH配合

uncvariance signature(object = "missing", pars = "numeric", distribution = "character", model = "character", submodel = "ANY", vexdata = "ANY"): Calculates and returns the long run unconditional variance of the GARCH fit given a named parameter vector as returned by the fit, a distribution model name and a GARCH model name with a submodel included if the model is of the
uncvariance signature(object = "missing", pars = "numeric", distribution = "character", model = "character", submodel = "ANY", vexdata = "ANY")：计算并返回，从长远来看无条件方差的GARCH适合返回的合适，分布模型名称包含的子模型和GARCH模型名称命名的参数向量，该模型

uncmean signature(object = "uGARCHfit"): Calculates and returns the unconditional mean of the conditional mean equation
uncmeansignature(object = "uGARCHfit")：计算并返回的无条件均值的条件均值方程

persistence signature(object = "uGARCHfit", pars = "missing", distribution = "missing", model = "missing"): Calculates and returns the persistence of the GARCH fit model given a
持久性signature(object = "uGARCHfit", pars = "missing", distribution = "missing", model = "missing")：计算并返回给定的GARCH拟合模型的持久性

persistence signature(object = "missing", pars = "numeric", distribution = "character", model = "character"): Calculates and returns the persistence of the GARCH fit model given a named parameter vector as returned by the fit, a distribution model name and a GARCH model name with a submodel included if the model is of the nested type
持久性signature(object = "missing", pars = "numeric", distribution = "character", model = "character")：如果模型中的嵌套类型的计算，并返回返回合适，分布模型名称包含的子模型和GARCH模型名称命名的参数向量GARCH拟合模型的持久性

halflife signature(object = "uGARCHfit", pars = "missing", distribution = "missing", model = "missing"): Calculates and returns the halflife of the GARCH fit variance given a
半衰期signature(object = "uGARCHfit", pars = "missing", distribution = "missing", model = "missing")：计算并返回给定的GARCH拟合方差的半衰期

halflife signature(object = "missing", pars = "numeric", distribution = "character", model = "character"): Calculates and returns the halflife of the GARCH fit variance given a named parameter vector as returned by the fit, a distribution model name and a GARCH model name with a submodel included if the model is of the nested
半衰期signature(object = "missing", pars = "numeric", distribution = "character", model = "character")：如果模型中的嵌套计算并返回的的GARCH适合方差合适，分布模型名称包含的子模型和GARCH模型名称命名的参数向量返回的半衰期

convergence signature(object = "uGARCHfit"): Returns the solver convergence code for the fitted object (zero denotes
收敛signature(object = "uGARCHfit")：返回拟合的对象（零表示的的求解收敛代码为

plot signature(x = "uGARCHfit", y = "missing"):
图signature(x = "uGARCHfit", y = "missing")：

show signature(object = "uGARCHfit"):
显示signature(object = "uGARCHfit")：

注意----------Note----------

Methods for coef, likelihood, fitted, sigma and residuals provide extractor functions for those values. Method for show gives detailed summary of GARCH fit with various tests. Method for plot provides for interactive choice of plots, option of choosing a particular plot (option “which” equal to a valid plot number) or a grand plot including all subplots on one page (option “which”=“all”). The data.frame method returns a data frame with 4 columns, the original data, the fitted data, the residuals and the sigma values, indexed (rownames) by the same values as provided in the original data provided to the fit function (e.g. dates). The infocriteria method calculates and returns the information criteria (AIC, BIC etc) of the GARCH fit. The nyblom method calculates and returns the Hansen-Nyblom joint and individual coefficient stability test statistic and critical values. The gof methods calculates and returns the adjusted goodness of fit statistic and p-values for the fitted distribution. The groups parameter is a numeric vector of grouped bin sizes for the test. See the references in the package introduction for the original paper by Vlaar and Palm explaining the test. The signbias methods calculates and returns the sign bias test of Engle and Ng (see the references in the package introduction). Methods for calculating and extracting persistence, unconditional variance and half-life of the GARCH shocks exist and take either the GARCH fit object as a single value otherwise you may provide a named parameter vector (see uGARCHspec section for parameter names of the various GARCH models), a distribution name and the GARCH model (with submodel argument for the fGARCH model). Unconditional mean and variance of the model may be extracted by means of the uncmean and uncvariance methods. The uncvariance may take either a fit object or a named parameter list, distribution and GARCH model name. The uncmean will only take a fit object due to the complexity of the calculation requiring much more information than the uncoditional variance. The news impact method returns a list with the calculated values (zx, zy) and
系数，可能性，装，标准差和残差的方法提供提取功能，这些值显示 方法给出了详细的总结的GARCH适合各种测试。 图方法提供互动的图选择，选择的选择一个特别的图（选项“，”等于一个有效的积数）或一个盛大的图，包括所有次要图在一个页面上（选项“，”=“所有”）。参考的数据框方法返回一个数据框与4列中，原始数据，拟合数据，残差和σ值（rownames）由所提供的相同的值，在提供的原始数据的拟合函数（例如日期）。 将infocriteria方法，索引计算并返回信息标准（AIC，BIC等）的GARCH适合。参考nyblom方法计算并返回韩森 - Nyblom共同和个别的系数稳定检验统计量和临界值。参考GoF的方法计算并返回调整后的善良的拟合分布拟合统计量和p-值。的群体参数是一个数值向量的测试分组斌大小的。参考的signbias方法计算和返回的标志偏见，测试Engle和NG（请参阅参考资料包中的介绍）。 方法包中的介绍，请参阅参考文献解释的测试由Vlaar和Palm的原始文件。计算和提取持久，无条件方差和半衰期的GARCH冲击的存在，并采取任何的GARCH适合对象作为一个单一的值，否则你可能会提供一个命名的参数向量（见uGARCHspec部分的各种参数名称GARCH模型），分配名称和GARCH模型（子模型参数的fGARCH模型）。 无条件均值和方差模型的可提取通过的uncmean和uncvariance方法。该uncvariance可能需要一个合适的对象或一个命名的参数列表，分布和GARCH模型的名称。 uncmean将只需要一个合适的对象，由于计算的复杂性，需要更多的信息，比uncoditional变异。 的消息影响方法返回一个列表与计算值（ZX，ZY）

（作者）----------Author(s)----------

Alexios Ghalanos

参见----------See Also----------

Classes uGARCHforecast, uGARCHsim and uGARCHspec.
类uGARCHforecast，uGARCHsim和uGARCHspec。

实例----------Examples----------

## Not run: [＃不运行：]
# Basic GARCH(1,1) Spec[基本GARCH（1,1）规格]
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec)
fit

# object fit:[反对适合：]
slotNames(fit)
# sublist fit@fit[子表适合适合]
names(fit@fit)

coef(fit)
infocriteria(fit)
likelihood(fit)
nyblom(fit)
signbias(fit)
head(as.data.frame(fit))
head(sigma(fit))
head(residuals(fit))
head(fitted(fit))
gof(fit,c(20,30,40,50))
uncmean(fit)
uncvariance(fit)
#plot(fit,which="all")[图（FIT =“所有”）]

# news impact example[新闻影响的例子]
spec = ugarchspec(variance.model=list(model="apARCH"))
fit = ugarchfit(data = dmbp[,1], spec = spec)
# note that newsimpact does not require the residuals (z) as it[注意，不需要的残差的newsimpact（z）的，因为它]
# will discover the relevant range to plot against by using the min/max[将发现的相关暗算使用的最小/最大范围]
# of the fitted residuals.[拟合的残差。]
ni=newsimpact(z = NULL, fit)
#plot(ni$zx, ni$zy, ylab=ni$yexpr, xlab=ni$xexpr, type="l", main = "News Impact Curve")[图（NI美元ZX，NI $ ZY，ylab = NI $ yexpr，xlab = NI xexpr，类型=“L”，主要=“新闻影响曲线”）]

转载请注明:出自生物统计家园网(http://www.biostatistic.net)。

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