From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>

Date: Wed 21 Jun 2006 - 17:59:28 EST

>> Dear all R-users,

*>>
*

*>> I have a GARCH related query. Suppose I fit a GARCH(1,1) model on a
*

*>> dataframe dat
*

*>>
*

*>>
*

*>>> garch1 = garch(dat)
*

*>>> summary(garch1)
*

*>>
*

*>> Call:
*

*>> garch(x = dat)
*

*>>
*

*>> Model:
*

*>> GARCH(1,1)
*

*>>
*

*>> Residuals:
*

*>> Min 1Q Median 3Q Max
*

*>> -4.7278 -0.3240 0.0000 0.3107 12.3981
*

*>>
*

*>> Coefficient(s):
*

*>> Estimate Std. Error t value Pr(>|t|)
*

*>> a0 1.212e-04 2.053e-06 59.05 <2e-16 ***
*

*>> a1 1.001e+00 4.165e-02 24.04 <2e-16 ***
*

*>> b1 2.435e-15 1.086e-02 2.24e-13 1
*

*>> ---
*

*>> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
*

*>>
*

*>> Diagnostic Tests:
*

*>> Jarque Bera Test
*

*>>
*

*>> data: Residuals
*

*>> X-squared = 54480.76, df = 2, p-value < 2.2e-16
*

*>>
*

*>> Now I want to store the value of Pr(>|t|) for coefficient a0, a1, and b1,
*

*>> and also values of these coefficients, so that I can use them in future
*

*>> separately. I know that I can do it for coefficients by using the command:
*

*>> coef(garch1)["a0"] etc, but not for Pr(>|t|). Can anyone please tell me how
*

*>> to do this?
*

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Jun 21 18:11:20 2006

Date: Wed 21 Jun 2006 - 17:59:28 EST

> help.search("garch-methods", package="tseries")

finds accessor functions? That is notation for S4 methods, and "garch" is an S3 class so there will be none. Here there _is_ an accessor, coef(), and you can find that there is by

> methods(class="garch")

[1] coef.garch* fitted.garch* logLik.garch* plot.garch* [5] predict.garch* print.garch* residuals.garch* summary.garch*

Non-visible functions are asterisked

On Tue, 20 Jun 2006, Jeff Newmiller wrote:

> Arun Kumar Saha wrote:

>> Dear all R-users,

> > This is less a question about GARCH and more a question about how R works > (which I know is true because I didn't know what GARCH was when I read the > question and I still don't but I can provide you a usable answer). > > You can use the str() function to see the structure of an object in R: > > > garch1.summary <- summary(garch1) > > str(garch1.summary) > List of 6 > $ residuals: Time-Series [1:999] from 2 to 1000: 0.206 0.709 0.476 > > -0.291 -1.676 ... > ..- attr(*, "na.removed")= int 1 > $ coef : num [1:3, 1:4] 0.0799 0.6287 0.2118 0.0110 0.0755 ... > ..- attr(*, "dimnames")=List of 2 > .. ..$ : chr [1:3] "a0" "a1" "b1" > .. ..$ : chr [1:4] " Estimate" " Std. Error" " t value" "Pr(>|t|)" > $ call : language garch(x = x, order = c(1, 1)) > $ order : Named num [1:2] 1 1 > ..- attr(*, "names")= chr [1:2] "p" "q" > $ j.b.test :List of 5 > ..$ statistic: Named num 0.468 > .. ..- attr(*, "names")= chr "X-squared" > ..$ parameter: Named num 2 > .. ..- attr(*, "names")= chr "df" > ..$ p.value : Named num 0.791 > .. ..- attr(*, "names")= chr "X-squared" > ..$ method : chr "Jarque Bera Test" > ..$ data.name: chr "Residuals" > ..- attr(*, "class")= chr "htest" > $ l.b.test :List of 5 > ..$ statistic: Named num 1.01 > .. ..- attr(*, "names")= chr "X-squared" > ..$ parameter: Named num 1 > .. ..- attr(*, "names")= chr "df" > ..$ p.value : num 0.316 > ..$ method : chr "Box-Ljung test" > ..$ data.name: chr "Squared.Residuals" > ..- attr(*, "class")= chr "htest" > - attr(*, "class")= chr "summary.garch" > > From this you can see that there is a "coef" list member > that contains the information you are after: > > > garch1.summary$coef > Estimate Std. Error t value Pr(>|t|) > a0 0.07989234 0.01104719 7.231912 4.762857e-13 > a1 0.62870916 0.07551333 8.325804 0.000000e+00 > b1 0.21184013 0.05384033 3.934599 8.333558e-05 > > this is apparently a matrix, so try matrix notation: > > > garch1.summary$coef[,4] > a0 a1 b1 > 4.762857e-13 0.000000e+00 8.333558e-05 > > or > > > garch1.summary$coef[1,4] > [1] 4.762857e-13 > > Having said all that, this solution depends on implementation details > of the innards of the relevant objects, and in general if accessor > functions are available they should be used instead... but in this > case such accessors don't seem to be available. > > > help.search("garch-methods", package="tseries") > > -- Brian D. Ripley, ripley@stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Jun 21 18:11:20 2006

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