cGARCHsim-class: class: Copula Simulation Class

In rmgarch: Multivariate GARCH Models

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", by class "mGARCHsim", distance 2. Class "rGARCH", 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 = "cGARCHfit"): 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 Feb. 5, 2022, 1:07 a.m.