DCCroll-class: class: DCC Roll Class

In rgarch: Flexible GARCH modelling in R

Description

The class is returned by calling the function dccroll.

Slots

forecast:

Object of class "vector" List of DCCforecast objects, one for each rolling estimation.

spec:

Object of class "vector" Details on the roll object.

Extends

Class "mGARCHroll", directly. Class "GARCHroll", by class "mGARCHroll", distance 2. Class "rGARCH", by class "mGARCHroll", distance 3.

Methods

coef

signature(object = "DCCroll"): coefficient matrix across rolling estimations.

fitted

signature(object = "DCCroll"): forecast data matrix, given additional argument ‘roll’ denoting the roll estimation to return values for.

likelihood

signature(object = "DCCroll"): extracts the likelihoods across rolling estimations.

plot

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

rcor

signature(object = "DCCroll"): Dynamic Conditional Correlation Array, given additional arguments ‘roll’ and ‘type’.

rcov

signature(object = "DCCroll"): Dynamic Conditional Covariance Array, given additional argument ‘roll’.

rshape

signature(object = "DCCfit"): multivariate distribution shape vector or matrix across rolling estimations.

rskew

signature(object = "DCCfit"): multivariate skew vector or matrix across rolling estimations.

show

signature(object = "DCCroll"): summary.

sigma

signature(object = "DCCroll"): univariate forecast sigma matrix given additional argument ‘roll’.

Note

The DCCroll object contains slots ‘forecast’ and ‘spec’. The former is a list of class DCCforecast, one for each rolling estimation. Methods on this object usually require the additional argument ‘roll’ to return a value for the specific rolling estimation and it is upto the user to combine the results to form one large forecast. The ‘spec’ slot contains some additional information about the roll object passed on to other methods.

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.