Tidy a(n) garch object

Tidy summarizes information about the components of a model. A model component might be a single term in a regression, a single hypothesis, a cluster, or a class. Exactly what tidy considers to be a model component varies across models but is usually self-evident. If a model has several distinct types of components, you will need to specify which components to return.

Usage

# S3 method for class 'garch'
glance(x, test = c("box-ljung-test", "jarque-bera-test"), ...)

Arguments

x

A garch object returned by tseries::garch().

test

Character specification of which hypothesis test to use. The garch function reports 2 hypothesis tests: Jarque-Bera to residuals and Box-Ljung to squared residuals.

...

Additional arguments. Not used. Needed to match generic signature only. Cautionary note: Misspelled arguments will be absorbed in ..., where they will be ignored. If the misspelled argument has a default value, the default value will be used. For example, if you pass conf.lvel = 0.9, all computation will proceed using conf.level = 0.95. Two exceptions here are:

• tidy() methods will warn when supplied an exponentiate argument if it will be ignored.

• augment() methods will warn when supplied a newdata argument if it will be ignored.

See also

glance(), tseries::garch(), []

Other garch tidiers: tidy.garch()

Value

A tibble::tibble() with exactly one row and columns:

AIC

Akaike's Information Criterion for the model.

BIC

Bayesian Information Criterion for the model.

logLik

The log-likelihood of the model. [stats::logLik()] may be a useful reference.

method

Which method was used.

nobs

Number of observations used.

p.value

P-value corresponding to the test statistic.

statistic

Test statistic.

parameter

Parameter field in the htest, typically degrees of freedom.