cGARCHsim-class: class: Copula Simulation Class
In rgarch: Flexible GARCH modelling in R

Description Slots Extends Methods Author(s) References

The class is returned by calling the function cgarchsim.

msim:: Object of class "vector" multivariate simulation list.

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

fitted: signature(object = "cGARCHsim"): the simulated returns.
rcor: signature(object = "cGARCHsim"): the simulated correlation (for DCC type)
rcov: signature(object = "cGARCHsim"): the simulated covariance.
show: signature(object = "cGARCHsim"): summary.

Alexios Ghalanos

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.