cGARCHsim-class {rmgarch} | R Documentation |
class: Copula Simulation Class
Description
The class is returned by calling the function cgarchsim
.
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 = "cGARCHsim")
: The simulated conditional returns matrix given. Takes optional argument “sim” indicating the simulation run to return (from the m.sim option of thecgarchsim
method.- sigma
signature(object = "cGARCHfit")
: The simulated conditional sigma matrix given. Takes optional argument “sim” indicating the simulation run to return (from the m.sim option of thecgarchsim
method.- rcor
signature(object = "cGARCHsim")
: The simulated conditional correlation array (for DCC type). Takes optional argument “sim” indicating the simulation run to return (from the m.sim option of thecgarchsim
method. A further argument ‘output’ allows to switch between “array” and “matrix” returned object.- rcov
signature(object = "cGARCHsim")
: The simulated conditional covariance array. Takes optional argument “sim” indicating the simulation run to return (from the m.sim option of thecgarchsim
method. A further argument ‘output’ allows to switch between “array” and “matrix” returned object.- show
signature(object = "cGARCHsim")
: Summary.
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.