search for: matcoef

...0.01,dt=1) { r <- diff(log(data)) #fit Garch(1,1), Ar(2) modell fit = garchFit(~arma(2,0), ~garch(1,1), series = r) #init vars rhat[1:3] <- 0 a[1:3] <- 0 sigma[1:3] <- 0 VaR[1:3] <- 0 for (t in 3:length(r)) { #Calculate r suggested by AR rhat[t] <- fit at fit$matcoef[1,1] + fit at fit$matcoef[2,1] * r[t-1] + fit at fit$matcoef[3,1]* r[t-2] #calculate error from fitted AR a[t] <- r[t] - rhat[t] #estimate sigma sigma[t] <- sqrt(fit at fit$matcoef[4,1] + fit at fit$matcoef[5,1] * sigma[t-1]^2 + fit at fit$matcoef[6,1] * a[t - 1]^2) # calculate...

...alpha0+alpha*(x[i-1]-r+0.5*hh[i-1])^2+beta*hh[i-1] } hh<-ts(hh) h<-sqrt(abs(hh)) z<-(x-r+0.5*hh)/h -(-(sum(0.5*(log(hh[2:n])+(z[2:n])^2)))) } fit<-nlminb(param, llh, lower=lowerB, upper=upperB) Hessian<-hessian(llh,fit$par) se.coef = sqrt(diag(solve(Hessian))) tval = fit$par/se.coef matcoef = cbind(fit$par,se.coef, tval, 2*(1-pnorm(abs(tval)))) dimnames(matcoef) = list(names(tval), c(" Estimate", " Std. Error", " t value", "Pr(>|t|)")) printCoefmat(matcoef, digits = 6, signif.stars = TRUE) }

My question is about the "Signif. codes" , the output when I run matcoef =cbind(fit$par, se.coef,tval,2*(1-pnorm(abs(tval)))) dimnames(matcoef)=list(names(tval),c("Estimate","Std.Error","t value","pr(>|t|)")) cat("\nCoefficient(s):\n") printCoefmat(matcoef, digits=4, signif.stars = TRUE) Coefficient(s): E...