DCCroll-class: class: DCC Roll Class

In rmgarch: Multivariate GARCH models

Description

The class is returned by calling the function dccroll.

Slots

mforecast:

Object of class "vector" Multivariate forecast list.

model:

Object of class "vector" Model specification list.

Extends

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

Methods

coef

signature(object = "DCCroll"): The coefficient array across the rolling estimations with a T+0 3rd dimension index label.

fitted

signature(object = "DCCroll"): The conditional mean forecast xts object (with the actual T+i forecast dates as index).

likelihood

signature(object = "DCCroll"): The log-likelihood across rolling estimations.

plot

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

rcor

signature(object = "DCCroll"): The forecast dynamic conditional correlation array, with the T+i forecast index in the 3rd dimension label. Optional argument ‘type’ determines whether to return “R” for the correlation else will the DCC Q matrix.

rcov

signature(object = "DCCroll"): The forecast dynamic conditional covariance array, with the T+i forecast index in the 3rd dimension label.

rshape

signature(object = "DCCroll"): The multivariate distribution shape parameter(s).

rskew

signature(object = "DCCroll"): The multivariate distribution skew parameter(s).

show

signature(object = "DCCroll"): Summary.

sigma

signature(object = "DCCroll"): The conditional sigma forecast xts object (with the actual T+i forecast dates as index).

Author(s)

Alexios Ghalanos

References

Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, NBER Working Paper.

rmgarch documentation built on May 2, 2019, 5:56 p.m.