cGARCHfilter-class {rmgarch} | R Documentation |
class: Copula Filter Class
Description
The class is returned by calling the function cgarchfilter
.
Slots
mfilter
:Object of class
"vector"
Multivariate filter list.model
:Object of class
"vector"
Model specification list.
Extends
Class "mGARCHfilter"
, directly.
Class "GARCHfilter"
, by class "mGARCHfilter", distance 2.
Class "rGARCH"
, by class "mGARCHfilter", distance 3.
Methods
- coef
signature(object = "cGARCHfilter")
: The coefficient vector (see note).- fitted
signature(object = "cGARCHfilter")
: The conditional mean filtered data (xts object).- likelihood
signature(object = "cGARCHfilter")
: The joint likelihood.- rcor
signature(object = "cGARCHfilter")
: The conditional correlation array with third dimension labels the time index.- rcov
signature(object = "cGARCHfilter")
: The conditional covariance array with third dimension labels the time index.- residuals
signature(object = "cGARCHfilter")
: The model residuals (xts object).- show
signature(object = "cGARCHfilter")
: Summary.- sigma
signature(object = "cGARCHfilter")
: The model conditional sigma (xts object).- rshape
signature(object = "cGARCHfilter")
: The multivariate distribution shape parameter(s).- rskew
signature(object = "cGARCHfilter")
: The multivariate distribution skew parameter(s).
Note
The ‘coef’ method takes additional argument ‘type’ with valid values ‘garch’ for the garch parameters, ‘dcc’ for the second stage parameters and by default returns all the parameters in a named vector.
Author(s)
Alexios Galanos
References
Joe, H. Multivariate Models and Dependence Concepts, 1997,
Chapman \& Hall, London.
Genest, C., Ghoudi, K. and Rivest, L. A semiparametric estimation
procedure of dependence parameters in multivariate families of distributions,
1995, Biometrika, 82, 543-552.