DCCfit-class: class: DCC Fit Class

In rgarch: Flexible GARCH modelling in R

Description

The class is returned by calling the function dccfit.

Slots

mfit:

Object of class "vector" - multivariate fit.

ufit:

Object of class uGARCHmultifit

Extends

Class "mGARCHfit", directly. Class "GARCHfit", by class "mGARCHfit", distance 2. Class "rGARCH", by class "mGARCHfit", distance 3.

Methods

coef

signature(object = "DCCfit") coefficient vector (see note)

likelihood

signature(object = "DCCfit"): extracts the likelihood.

plot

signature(x = "DCCfit", y = "missing"): plot method, given additional arguments ‘series’ and ‘which’.

infocriteria

signature(object = "DCCfit"): calculates and returns various information criteria.

rshape

signature(object = "DCCfit"): multivariate distribution shape vector.

rskew

signature(object = "DCCfit"): multivariate distribution skew vector.

fitted

signature(object = "DCCfit"): fitted data matrix.

rcor

signature(object = "DCCfit"): Dynamic Conditional Correlation Array.

rcov

signature(object = "DCCfit"): Dynamic Conditional Covariance Array.

show

signature(object = "DCCfit"): summary.

sigma

signature(object = "DCCfit"): univariate conditional sigma matrix.

Note

The ‘coef’ method takes additional argument ‘type’ with valid values ‘garch’ for the garch parameters, ‘dcc’ for the dcc parameters and by default returns all the parameters in a named vector.

Author(s)

Alexios Ghalanos

References

Engle, R.F. and Sheppard, K. Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, 2001, NBER Working Paper.

rgarch documentation built on May 2, 2019, 5:22 p.m.