Description Slots Extends Methods Author(s) References
The class is returned by calling the function dccsim
.
msim
:Object of class "vector"
.
Class "mGARCHsim"
, directly.
Class "GARCHsim"
, by class "mGARCHsim", distance 2.
Class "rGARCH"
, by class "mGARCHsim", distance 3.
signature(object = "DCCsim")
: simulated data matrix given additional argument
‘sim’ denoting the simulation to return values for.
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.
signature(object = "DCCsim")
: simulated Dynamic Conditional Covariance Array given
additional argument ‘sim’ denoting the simulation to return values for.
signature(object = "DCCsim")
: simulated univariate conditional sigma matrix given
additional argument ‘sim’ denoting the simulation to return values for.
signature(object = "DCCsim")
: summary.
Alexios Ghalanos
Engle, R.F. and Sheppard, K. Theoretical and empirical properties of dynamic conditional
correlation multivariate GARCH, 2001, NBER Working Paper.
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