cGARCHsim-class: class: Copula Simulation Class

In rmgarch: Multivariate GARCH Models

class: Copula Simulation Class

Description

The class is returned by calling the function cgarchsim.

Slots

msim:

Object of class "vector" Multivariate simulation list.

model:

Object of class "vector" Model specification list.

Extends

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

Methods

fitted

signature(object = "cGARCHsim"): The simulated conditional returns matrix given. Takes optional argument “sim” indicating the simulation run to return (from the m.sim option of the cgarchsim method.

sigma

signature(object = "cGARCHsim"): The simulated conditional sigma matrix given. Takes optional argument “sim” indicating the simulation run to return (from the m.sim option of the cgarchsim method.

rcor

signature(object = "cGARCHsim"): The simulated conditional correlation array (for DCC type). Takes optional argument “sim” indicating the simulation run to return (from the m.sim option of the cgarchsim method. A further argument ‘output’ allows to switch between “array” and “matrix” returned object.

rcov

signature(object = "cGARCHsim"): The simulated conditional covariance array. Takes optional argument “sim” indicating the simulation run to return (from the m.sim option of the cgarchsim method. A further argument ‘output’ allows to switch between “array” and “matrix” returned object.

show

signature(object = "cGARCHsim"): Summary.

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 Sept. 1, 2025, 1:09 a.m.