DCCspec-class: class: DCC Specification Class

In rmgarch: Multivariate GARCH Models

Description

The class is returned by calling the function dccspec.

Slots

model:

Object of class "vector" The multivariate model specification list.

umodel:

Object of class "vector" The univariate model specification list.

Extends

Class "mGARCHspec", directly. Class "GARCHspec", by class "mGARCHspec", distance 2. Class "rGARCH", by class "mGARCHspec", distance 3.

Methods

setfixed<-

signature(object = "DCCspec", value = "vector"): Set fixed second stage parameters.

setstart<-

signature(object = "DCCspec", value = "vector"): Set starting second stage parameters.

show

signature(object = "DCCspec"): Summary.

Note

The ‘umodel’ list is absorbed into the ‘model’ list in all other DCC classes.

Author(s)

Alexios Galanos

References

Croux, C. and Joossens, K. 2008, Robust estimation of the vector autoregressive model by a least trimmed squares procedure, COMPSTAT, 489–501.
Cappiello, L., Engle, R.F. and Sheppard, K. 2006, Asymmetric dynamics in the correlations of global equity and bond returns, Journal of Financial Econometrics 4, 537–572.
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.