DCCfit-class {rmgarch} | R Documentation |
class: DCC Fit Class
Description
The class is returned by calling the function dccfit
.
Slots
mfit
:Object of class
"vector"
Multivariate filter 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 = "DCCfit")
The coefficient vector (see note).- likelihood
signature(object = "DCCfit")
: The joint likelihood.- rshape
signature(object = "DCCfit")
: The multivariate distribution shape parameter(s).- rskew
signature(object = "DCCfit")
: The multivariate distribution skew parameter(s).- fitted
signature(object = "DCCfit")
: The fitted conditional mean xts object.- sigma
signature(object = "DCCfit")
: The fitted conditional GARCH sigma xts object.- residuals
signature(object = "DCCfit")
: The fitted conditional mean residuals xts object.- plot
signature(x = "DCCfit", y = "missing")
: Plot method, given additional arguments ‘series’ and ‘which’.- infocriteria
signature(object = "DCCfit")
: Information criteria.- rcor
signature(object = "DCCfit")
: The fitted dynamic conditional correlation array given additional arguments ‘type’ (either “R” for the correlation else will return the Q matrix). The third dimension label of the array gives the time index (from which it is then possible to construct pairwise xts objects for example). The argument ‘output’ can be either “array” (default) or “matrix” in which case the array is flattened and the lower diagonal time varying values are returned (and if a date exists, then the returned object is of class xts).- rcov
signature(object = "DCCfit")
: The fitted dynamic conditional covariance array. The third dimension label of the array gives the time index (from which it is then possible to construct pairwise xts objects for example). The argument ‘output’ can be either “array” (default) or “matrix” in which case the array is flattened and the lower and main diagonal time varying values are returned (and if a date exists, then the returned object is of class xts).- show
signature(object = "DCCfit")
: Summary.- nisurface
signature(object = "DCCfit")
: The news impact surface plot given additional arguments ‘type’ with either “cov” or “cor” (for the covariance and correlation news impact respectively), ‘pair’ (defaults to c(1,2)), ‘plot’ (logical) and ‘plot.type’ with a choice of either “surface” or “contour”.
Note
The ‘coef’ method takes additional argument ‘type’ with valid values ‘garch’ for the univariate garch parameters, ‘dcc’ for the second stage dcc parameters and by default returns all the parameters in a named vector.
Author(s)
Alexios Galanos
References
Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of
dynamic conditional correlation multivariate GARCH, NBER Working Paper.