fScenario-class: Class '"fScenario"'

In rmgarch: Multivariate GARCH Models

Description

Object returned from calling fscenario.

Objects from the Class

Objects can be created by calls of the form new("fScenario", ...).

Slots

scenario:

Object of class "vector" A list with the (roll+1) scenario matrices.

model:

Object of class "vector" A list with details of data generating process.

Methods

show

signature(object = "fScenario"): Summary method.

goget

signature(object = "fScenario"): Get a specified ‘arg’ from the object (only ‘scenario’ used).

fitted

signature(object = "fScenario"): Returns an array of the simulated scenario returns, of dimensions n.sim by n.assets by (roll+1), with third dimension labels the actual forecast time index, and second dimension labels the asset names. The last forecast scenario will always be completely out of sample so the time index label for that is generated using the generatefwd function in the rugarch package.

Author(s)

Alexios Galanos

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