fitted {LFUrmutils} | R Documentation |
These functions are based on the generic fitted
method for objects of classes UnivVola
and MultiEWMA
, and extract the conditional variances.
## S3 method for class 'UnivVola' fitted(object, ...) ## S3 method for class 'MultiEWMA' fitted(object, ...)
object |
An object of class |
... |
Arguments passed to methods (unused at the moment). |
For univariate volatility models, the function extracts the conditional variances. For the multivariate EWMA model, the function extracts the conditional variance-covariance matrices. In this case, each row in the output corresponds to the (full) conditional variance-vovariance matrix of the corresponding day.
For the multivariate EWMA model, we recommend that end users use the function varcov
, which also allows to extract the full conditional variance-covariance matrix, but provides additional arguments to control the output.
Bernhard Eder
Danielsson (2011). Financial Risk Forecasting. Wiley. Chichester.
Jorion (2007). Value at Risk, 3rd. McGraw-Hill. New York.
Ruppert and Matteson (2015). Statistics and Data Analysis for Financial Engineering, 2nd. Springer. New York.
# Load returns data("CRSPday_zoo") y <- CRSPday_zoo # Compute univariate volatility model RM <- UnivVola(y[, 1], type = "RiskMetrics", lambda = -1, center = TRUE) # Extract fitted values cond_vola <- fitted(RM)