I am using Aparch/Garch model (library: "fGarch") and want to read (& use later) the objects like AIC, t-values of the coefficients in the summary of the model fit. How can I do this?
m3<-(garchFit(~arma(1,0)+aparch(1,1), cond.dist= "sged" ,data=t2, trace=FALSE))
summary(m3)
Title: GARCH Modelling
Call:
garchFit(formula = ~arma(1, 0) + aparch(1, 1), data = t2, cond.dist = "sged",
trace = FALSE)
Mean and Variance Equation:
data ~ arma(1, 0) + aparch(1, 1)
[data = t2]
Conditional Distribution:
sged
Coefficient(s):
mu ar1 omega alpha1 gamma1 beta1 delta skew shape
0.00063936 0.07745422 0.00116542 0.24170185 0.19179650 0.74430731 1.11902269 1.06401615 1.23013925
Std. Errors:
based on Hessian
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu 0.0006394 0.0004789 1.335 0.181828
ar1 0.0774542 0.0256070 3.025 0.002489 **
omega 0.0011654 0.0003097 3.763 0.000168 ***
alpha1 0.2417019 0.0368264 6.563 5.26e-11 ***
gamma1 0.1917965 0.0699436 2.742 0.006104 **
beta1 0.7443073 0.0383066 19.430 < 2e-16 ***
delta 1.1190227 0.2569665 4.355 1.33e-05 ***
skew 1.0640162 0.0295095 36.057 < 2e-16 ***
shape 1.2301392 0.0592616 20.758 < 2e-16 ***
Information Criterion Statistics:
AIC BIC SIC HQIC
-4.835325 -4.803583 -4.835395 -4.823503
I think you'll have to extract those from the output of garchFit
, not its summary. Start by looking at:
> attributes(m3)
Then you can access something like $fit$tval
by doing
> m3@fit$tval