DCCroll-class {rmgarch}R Documentation

class: DCC Roll Class

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. A further argument ‘output’ allows to switch between “array” and “matrix” returned object.

rcov

signature(object = "DCCroll"): The forecast dynamic conditional covariance array, with the T+i forecast index in the 3rd dimension label. A further argument ‘output’ allows to switch between “array” and “matrix” returned object.

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 Galanos

References

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


[Package rmgarch version 1.3-9 Index]