ReadonlyaicSee GarchFit: −2·ln L + 2k and −2·ln L + k·ln n.
ReadonlybicReadonlyconditionalOne per return, in the returns' units squared.
ReadonlyconvergedReadonlyforecasts_{T+1} … s_{T+h}; null when the fit did not converge.
Readonlygammap-value of γ (robust); null for the symmetric model.
ReadonlylogReadonlymeanReadonlymodelReadonlynut innovations only: ν held on a bound (see GarchFit.nuBound).
ReadonlyparamsReadonlypersistenceReadonlyrivalsThe other optima whose log-likelihood is within rivalsWithin of the
fit's — the modes the data cannot tell from it. Empty unless asked.
ReadonlyvalidationAgainst the next-simpler model: naive trailing variance for garch, symmetric garch for gjr.
ReadonlyvarianceSee GarchFit.varianceTarget: null unless ω was targeted.
volatilityForecast's answer: the as-of fit and forecast, and the model graded walk-forward against its baseline.