DCCsim-class: class: DCC Forecast Class

In rgarch: Flexible GARCH modelling in R

Description

The class is returned by calling the function dccsim.

Slots

msim:

Object of class "vector".

Extends

Class "mGARCHsim", directly. Class "GARCHsim", by class "mGARCHsim", distance 2. Class "rGARCH", by class "mGARCHsim", distance 3.

Methods

fitted

signature(object = "DCCsim"): simulated data matrix given additional argument ‘sim’ denoting the simulation to return values for.

rcor

signature(object = "DCCsim"): simulated Dynamic Conditional Correlation Array given additional argument ‘sim’ denoting the simulation to return values for, and ‘type’ with ‘R’ returning the correlation matrix and ‘Q’ the DCC Q-matrix.

rcov

signature(object = "DCCsim"): simulated Dynamic Conditional Covariance Array given additional argument ‘sim’ denoting the simulation to return values for.

sigma

signature(object = "DCCsim"): simulated univariate conditional sigma matrix given additional argument ‘sim’ denoting the simulation to return values for.

show

signature(object = "DCCsim"): 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.