cGARCHfit-class: class: Copula Fit Class

In rgarch: Flexible GARCH modelling in R

Description

The class is returned by calling the function cgarchfit.

Slots

mfit:

Object of class "vector" multivariate fit list.

mspec:

Object of class "vector" multivariate spec list.

uspec:

Object of class "uGARCHmultispec" univariate multispec.

copula:

Object of class "vector" copula details list.

model:

Object of class "vector" model specification list.

Extends

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

Methods

coef

signature(object = "cGARCHfit"): coefficient vector (see note).

fitted

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

likelihood

signature(object = "cGARCHfit"): extracts the joint likelihood.

rcor

signature(object = "cGARCHfit"): extracts the correlation.

rcov

signature(object = "cGARCHfit"): extracts the covariance.

residuals

signature(object = "cGARCHfit"): residuals data matrix.

show

signature(object = "cGARCHfit"): summary.

sigma

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

Note

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

Author(s)

Alexios Ghalanos

References

Joe, H. Multivariate Models and Dependence Concepts, 1997, Chapman \& Hall, London.
Genest, C., Ghoudi, K. and Rivest, L. A semiparametric estimation procedure of dependence parameters in multivariate families of distributions, 1995, Biometrika, 82, 543-552.

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