cGARCHspec-class: class: Copula Specification Class

In rmgarch: Multivariate GARCH Models

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" The univariate model specification.

Extends

Class "mGARCHspec", directly. Class "GARCHspec", by class "mGARCHspec", distance 2. Class "rGARCH", 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 Feb. 5, 2022, 1:07 a.m.