DCCsim-class {rmgarch}

class: DCC Forecast Class

Description

The class is returned by calling the function dccsim.

Slots

msim:

Object of class "vector" Multivariate simulation list.

model:

Object of class "vector" Model specification list.

Extends

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

Methods

fitted

signature(object = "DCCsim"): The conditional mean simulated data matrix given additional argument ‘sim’ denoting the simulation run (m.sim) to return values for.

rcor

signature(object = "DCCsim"): The simulated dynamic conditional correlation array given additional arguments ‘sim’ denoting the simulation run (m.sim) to return values for, and ‘type’ (either “R” for the correlation else will return the Q matrix). A further argument ‘output’ allows to switch between “array” and “matrix” returned object.

rcov

signature(object = "DCCsim"): The simulated dynamic conditional covariance array given additional argument ‘sim’ denoting the simulation run (m.sim) to return values for. A further argument ‘output’ allows to switch between “array” and “matrix” returned object.

sigma

signature(object = "DCCsim"): The univariate simulated conditional sigma matrix given additional argument ‘sim’ (m.sim) denoting the simulation run to return values for.

show

signature(object = "DCCsim"): Summary.

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.