R: Summarizing GARCH Model Fits

summary.garch {tseries} | R Documentation

## Summarizing GARCH Model Fits

### Description

Methods for creating and printing summaries of GARCH model fits.

### Usage

    ## 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"), ...)

### Arguments

`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.

### Details

`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`.

### Value

A list of class `"summary.garch"`.

### References

T. Bollerslev (1986): Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 31, 307–327.

### See Also

`garch`

[Package tseries version 0.10-47 Index]