dcc_modelspec: DCC GARCH model specification

In tsmarch: Multivariate ARCH Models

DCC GARCH model specification

Description

DCC GARCH model specification

Usage

## S3 method for class 'tsgarch.multi_estimate'
dcc_modelspec(
  object,
  dynamics = c("constant", "dcc", "adcc"),
  dcc_order = c(1, 1),
  distribution = c("mvn", "mvt"),
  cond_mean = NULL,
  ...
)

Arguments

object	an object of class “tsgarch.multi_estimate”.
dynamics	the type of correlation dynamics to use.
dcc_order	the order of the dynamics in case of “dcc” or “adcc” correlation models.
distribution	the multivariate distribution. If using the “mvt”, then the first stage univariate models should use the normal distribution.
cond_mean	an optional matrix of the conditional mean for the series.
...	not currently used.

Value

an object of class “dcc.spec”.

tsmarch documentation built on April 3, 2025, 7:40 p.m.