[R-SIG-Finance] How to access rugarch output object ?

[Eric Berger]

Hi John,
Regarding your specific question about alpha1 it is possible.
In general it should be possible to get the values you want from other R
packages *if* those packages return it somewhere in the object (ok that's a
tautology).

I don't have huge experience with the rugarch package but I did the
following "poking around" and solved your issue. Here's the general
approach.

> foo <- somefunc()  # grab the output of the function you care about (e.g.
ugarchfit() )
> str(foo)  # dump information about the output (str = 'structure')
> summary(foo) # dump more information, if it exists

look for what you need and see if you can isolate it.

In the ugarchfit case there was a lot of output so I did the following
> sink("tmpfile")
> str(foo)
> summary(foo)
> sink()

to get the output into a text file. Then I searched for 'alpha1' in the
text file. I found it in the 'model' section of the summary output.
I then searched for 'model' and found it is a slot in the output structure
of ugarchfit. (which is an S4 object)

After a few attempts the following works. FYI I used the example in the
help page of the ugarchfit() function. (The first three lines, to set the
output to the variable 'fit' instead of 'foo').

> irow <- match("alpha1", rownames(fit using model$pars))
> alpha1 <- fit using model$pars[irow,1]

That's it.
HTH,
Eric



On Mon, Nov 26, 2018 at 4:57 PM John Writer <john.d.writer using gmail.com> wrote:

> Hi There,
>
> I am trying to write a script which is essentially a "for loop" where I run
> rugarch and then pick specific parameter values from it and feed them to
> another vector/function. This needs to happen several times.
>
> As of now, I can see that the ugarchfit (rugarch) output is broken into
> section and I can access a specific section using the $ operator. But I
> could not access the specfic parameter value. To be more specific, how do I
> pick the alpha1 value from the ugarchfit output object via an R script ?
>
> More generally, is this possible for other R packages (e.g. pick the VaR
> value from PerformanceAnalytics package) ?
>
> Please advise.
>
> Thanks.
>
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