summary.garch {tseries} | R Documentation |
Methods for creating and printing summaries of GARCH model fits.
## S3 method for class 'garch': summary(object, ...) ## S3 method for class 'summary.garch': print(x, digits = max(3, getOption("digits") - 3), signif.stars = getOption("show.signif.stars"), ...)
object |
an object of class "garch" ; usually, a result of a
call to garch . |
x |
an object of class "summary.garch" ; usually, a result
of a call to the summary method for objects of class "garch" . |
digits, signif.stars |
see printCoefmat . |
... |
further arguments passed to or from other methods. |
summary
computes the asymptotic standard errors of the
coefficient estimates from an outer-product approximation of the
Hessian evaluated at the estimates, see Bollerslev (1986). It
furthermore tests the residuals for normality and remaining ARCH
effects, see jarque.bera.test
and
Box.test
.
A list of class "summary.garch"
.
T. Bollerslev (1986): Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 31, 307–327.