DCCforecast-class: class: DCC Forecast Class

In rgarch: Flexible GARCH modelling in R

Description

The class is returned by calling the function dccforecast.

Slots

mforecast:

Object of class "vector" - multivariate forecast

uforecast:

Object of class uGARCHmultiforecast

Extends

Class "mGARCHforecast", directly. Class "GARCHforecast", by class "mGARCHforecast", distance 2. Class "rGARCH", by class "mGARCHforecast", distance 3.

Methods

rshape

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

rskew

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

fitted

signature(object = "DCCforecast"): forecast data matrix.

plot

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

rcor

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

rcov

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

show

signature(object = "DCCforecast"): summary.

sigma

signature(object = "DCCforecast"): univariate forecast sigma matrix.

show

signature(object = "DCCforecast"): summary.

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.