Usage
dccfilter(spec, data, out.sample = 0, filter.control = list(n.old = NULL),
cluster = NULL, varcoef = NULL, realizedVol = NULL, ...)
Arguments
spec
A DCCspec object created by calling
dccspec with fixed parameters for the coefficients. data
A multivariate data object of class xts, or one which can be
coerced to such.
out.sample
A positive integer indicating the number of periods
before the last to keep for out of sample forecasting.
filter.control
Control arguments passed to the filtering routine (see
note.
cluster
A cluster object created by calling makeCluster from
the parallel package. If it is not NULL, then this will be used for parallel
estimation (remember to stop the cluster on completion).
varcoef
If a VAR model was chosen, then this is the VAR coefficient
matrix which must be supplied. No checks are done on its dimension or
correctness so it is up to the user to perform the appropriate checks.
realizedVol
Required xts matrix for the realGARCH model.