broom.garch.R

library(tseries)
library(magrittr)
library(ggplot2)

data(EuStockMarkets)
dax <- diff(log(EuStockMarkets))[,"DAX"]
dax.garch <- garch(dax)
dax.garch
tidy(dax.garch)
glance(dax.garch)
augment(dax.garch, dax) %>% head()
augment(dax.garch, dax) %>%
  ggplot(aes(x = .time, y = data)) +
  geom_line() +
  geom_line(aes(y = .fitted*2.32), colour = "red")
smp1 = window(dax, end = c(1997, frequency(dax)))
smp2 = window(dax, start = c(1998, 1))
dax.garch <- garch(smp1)
augment(dax.garch, newdata = smp2) %>%
  ggplot(aes(x = .time, y = newdata)) +
  geom_line() +
  geom_line(aes(y = .fitted*2.32), colour = "red")