DCCspec-class {rmgarch} | R Documentation |
class: DCC Specification Class
Description
The class is returned by calling the function dccspec
.
Slots
model
:Object of class
"vector"
The multivariate model specification list.umodel
:Object of class
"vector"
The univariate model specification list.
Extends
Class "mGARCHspec"
, directly.
Class "GARCHspec"
, by class "mGARCHspec", distance 2.
Class "rGARCH"
, by class "mGARCHspec", distance 3.
Methods
- setfixed<-
signature(object = "DCCspec", value = "vector")
: Set fixed second stage parameters.- setstart<-
signature(object = "DCCspec", value = "vector")
: Set starting second stage parameters.- show
signature(object = "DCCspec")
: Summary.
Note
The ‘umodel’ list is absorbed into the ‘model’ list in all other DCC classes.
Author(s)
Alexios Galanos
References
Croux, C. and Joossens, K. 2008, Robust estimation of the vector autoregressive
model by a least trimmed squares procedure, COMPSTAT, 489–501.
Cappiello, L., Engle, R.F. and Sheppard, K. 2006, Asymmetric dynamics in the
correlations of global equity and bond returns, Journal of Financial
Econometrics 4, 537–572.
Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of
dynamic conditional correlation multivariate GARCH, NBER Working Paper.