cGARCHfit-class: class: Copula Fit Class

In rmgarch: Multivariate GARCH Models

Description

The class is returned by calling the function cgarchfit.

Slots

mfit:

Object of class "vector" Multivariate fit 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 = "cGARCHfit"): The coefficient vector (see note).

fitted

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

likelihood

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

rcor

signature(object = "cGARCHfit"): The conditional correlation array with third dimension labels the time index. A further argument ‘output’ allows to switch between “array” and “matrix” returned object.

rcov

signature(object = "cGARCHfit"): The conditional covariance array with third dimension labels the time index. A further argument ‘output’ allows to switch between “array” and “matrix” returned object.

rshape

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

rskew

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

residuals

signature(object = "cGARCHfit"): The model residuals (xts object).

show

signature(object = "cGARCHfit"): Summary.

sigma

signature(object = "cGARCHfit"): The model conditional sigma (xts object).

Note

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

Author(s)

Alexios Galanos

References

Joe, H. Multivariate Models and Dependence Concepts, 1997, Chapman \& Hall, London.
Genest, C., Ghoudi, K. and Rivest, L. A semiparametric estimation procedure of dependence parameters in multivariate families of distributions, 1995, Biometrika, 82, 543-552.

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