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

DCCforecast-class

R Documentation

class: DCC Forecast Class

Description

The class is returned by calling the function dccforecast.

Slots

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

Extends

Class mGARCHforecast, directly.\ Class GARCHforecast object from the rugarch package, by class mGARCHforecast, distance 2.\ Class rGARCH object from the rugarch package, by class mGARCHforecast, distance 3.

Methods

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 third 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 third 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 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 covariance 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.