DCCforecast-class: class: DCC Forecast Class
In rmgarch: Multivariate GARCH Models

Description Slots Extends Methods Author(s) References

The class is returned by calling the function dccforecast.

mforecast:: Object of class "vector" Multivariate forecast list.
model:: Object of class "vector" Model specification list.

Class "mGARCHforecast", directly. Class "GARCHforecast", by class "mGARCHforecast", distance 2. Class "rGARCH", by class "mGARCHforecast", distance 3.

rshape: signature(object = "DCCforecast"): The multivariate distribution shape parameter(s).
rskew: signature(object = "DCCforecast"): The multivariate distribution skew parameter(s).
fitted: signature(object = "DCCforecast"): The conditional mean forecast array of dimensions n.ahead x n.assets by (n.roll+1). The thirds dimension of the array has the T+0 index label.
sigma: signature(object = "DCCforecast"): The conditional sigma forecast array of dimensions n.ahead x n.assets by (n.roll+1). The thirds dimension of the array has the T+0 index label.
plot: signature(x = "DCCforecast", y = "missing"): Plot method, given additional arguments ‘series’ and ‘which’.
rcor: signature(object = "DCCforecast"): The forecast dynamic conditional correlation list of arrays of length (n.roll+1), with each array of dimensions n.assets x n.assets x n.ahead. The method takes on one additional argument ‘type’ (either “R” for the correlation else will return the DCC Q matrix). A further argument ‘output’ allows to switch between “array” and “matrix” returned object.
rcov: signature(object = "DCCforecast"): The forecast dynamic conditional correlation list of arrays of length (n.roll+1), with each array of dimensions n.assets x n.assets x n.ahead. A further argument ‘output’ allows to switch between “array” and “matrix” returned object.
show: signature(object = "DCCforecast"): Summary.