trajectories: Class for sample paths of a Cogarch(1,1) process

Description Usage Arguments Details Methods Author(s)

Description

An object of class trajectories contains the Cogarch(1,1) sample paths.

Usage

1

Arguments

...

Arguments for the constructor trajectories(time,sigma,G):

time

is a numeric object containing the observation dates of the process.

sigma

is a matrix object in which the sample paths of the volatility process have been stored.

G

is a matrix object containing the simulated trajectories of the Cogarch(1,1).

Details

The class is built internally by the function rCOGARCH and contains the simulated sample path for a Cogarch(1,1) model

Methods

plot

Plot methods

summary

Summary methods

Author(s)

Cogarch Team


COGARCH documentation built on May 2, 2019, 5:28 p.m.