cGARCHspec-class: class: Copula Specification Class

In rmgarch: Multivariate GARCH Models

class: Copula Specification Class

Description

The class is returned by calling the function cgarchspec.

Slots

model:

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

umodel:

Object of class uGARCHmultispec from the rugarch package. The univariate model specification.

Extends

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

Methods

show

signature(object = "cGARCHspec"): Summary.

setfixed<-

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

setstart<-

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

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.