DCCfit-class: class: DCC Fit Class

In rmgarch: Multivariate GARCH Models

Description

The class is returned by calling the function dccfit.

Slots

mfit:

Object of class "vector" Multivariate filter list.

model:

Object of class "vector" Model specification list.

Extends

Class "mGARCHfit", directly. Class "GARCHfit", by class "mGARCHfit", distance 2. Class "rGARCH", by class "mGARCHfit", distance 3.

Methods

coef

signature(object = "DCCfit") The coefficient vector (see note).

likelihood

signature(object = "DCCfit"): The joint likelihood.

rshape

signature(object = "DCCfit"): The multivariate distribution shape parameter(s).

rskew

signature(object = "DCCfit"): The multivariate distribution skew parameter(s).

fitted

signature(object = "DCCfit"): The fitted conditional mean xts object.

sigma

signature(object = "DCCfit"): The fitted conditional GARCH sigma xts object.

residuals

signature(object = "DCCfit"): The fitted conditional mean residuals xts object.

plot

signature(x = "DCCfit", y = "missing"): Plot method, given additional arguments ‘series’ and ‘which’.

infocriteria

signature(object = "DCCfit"): Information criteria.

rcor

signature(object = "DCCfit"): The fitted dynamic conditional correlation array given additional arguments ‘type’ (either “R” for the correlation else will return the Q matrix). The third dimension label of the array gives the time index (from which it is then possible to construct pairwise xts objects for example). The argument ‘output’ can be either “array” (default) or “matrix” in which case the array is flattened and the lower diagonal time varying values are returned (and if a date exists, then the returned object is of class xts).

rcov

signature(object = "DCCfit"): The fitted dynamic conditional covariance array. The third dimension label of the array gives the time index (from which it is then possible to construct pairwise xts objects for example). The argument ‘output’ can be either “array” (default) or “matrix” in which case the array is flattened and the lower and main diagonal time varying values are returned (and if a date exists, then the returned object is of class xts).

show

signature(object = "DCCfit"): Summary.

nisurface

signature(object = "DCCfit"): The news impact surface plot given additional arguments ‘type’ with either “cov” or “cor” (for the covariance and correlation news impact respectively), ‘pair’ (defaults to c(1,2)), ‘plot’ (logical) and ‘plot.type’ with a choice of either “surface” or “contour”.

Note

The ‘coef’ method takes additional argument ‘type’ with valid values ‘garch’ for the univariate garch parameters, ‘dcc’ for the second stage dcc parameters and by default returns all the parameters in a named vector.

Author(s)

Alexios Galanos

References

Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, NBER Working Paper.

rmgarch documentation built on Feb. 5, 2022, 1:07 a.m.