Re: [R] GARCH

From: Jeff Newmiller <jdnewmil_at_dcn.davis.ca.us>
Date: Thu 22 Jun 2006 - 02:12:22 EST

Prof Brian Ripley wrote:
> Why do you think
>

>> 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

Probably because I used it, found a mention of various extraction functions including coef(), and could not find a way to access "Pr(>|t|)" using coef(). Nor have I had luck with
  help.search("summary.garch", package="tseries")

Possibly also because I have not yet figured out the difference between S4 and S3 methods, but since the result of my help.search call displayed S3 functions I don't see how knowing this difference would have helped.

>> 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
>
> Note though that inherited methods might be relevant too (e.g. default
> methods) and indeed it seems that here the default method for coef would
> work just as well.

Given Arun Kumar Saha's question...

 > > 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?

... I don't see how coef() helps because I have yet to figure out how to use coef() (or any other accessor) to find " Std. Error" of the coefficient, much less "Pr(>|t|)". summary.garch seems to have only a print method, with no accessors at all. Can you offer a solution?

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Received on Thu Jun 22 02:15:07 2006

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