The class is returned by calling the function dccfit
.
mfit
:Object of class "vector"
Multivariate filter
list.
model
:Object of class "vector"
Model specification
list.
Class "'>mGARCHfit"
, directly.
Class "'>GARCHfit"
, by class "mGARCHfit", distance 2.
Class "'>rGARCH"
, by class "mGARCHfit", distance 3.
signature(object = "DCCfit")
The coefficient vector (see note).
signature(object = "DCCfit")
:
The joint likelihood.
signature(object = "DCCfit")
:
The multivariate distribution shape parameter(s).
signature(object = "DCCfit")
:
The multivariate distribution skew parameter(s).
signature(object = "DCCfit")
:
The fitted conditional mean xts object.
signature(object = "DCCfit")
:
The fitted conditional GARCH sigma xts object.
signature(object = "DCCfit")
:
The fitted conditional mean residuals xts object.
signature(x = "DCCfit", y = "missing")
:
Plot method, given additional arguments ‘series’ and ‘which’.
signature(object = "DCCfit")
:
Information criteria.
signature(object = "DCCfit")
:
The fitted dynamic conditional correlation array given additional
arguments ‘type’ (either “R” for the
correlation else will return the Q matrix). The third dimension label of the
array gives the time index (from which it is then possible to construct
pairwise xts objects for example). The argument ‘output’ can be either
“array” (default) or “matrix” in which case the array is flattened
and the lower diagonal time varying values are returned (and if a date exists,
then the returned object is of class xts).
signature(object = "DCCfit")
:
The fitted dynamic conditional covariance array. The third dimension label
of the array gives the time index (from which it is then possible to
construct pairwise xts objects for example). The argument ‘output’ can be either
“array” (default) or “matrix” in which case the array is flattened
and the lower and main diagonal time varying values are returned (and if a date exists,
then the returned object is of class xts).
signature(object = "DCCfit")
:
Summary.
signature(object = "DCCfit")
:
The news impact surface plot given additional arguments ‘type’ with
either “cov” or “cor” (for the covariance and correlation news
impact respectively), ‘pair’ (defaults to c(1,2)), ‘plot’
(logical) and ‘plot.type’ with a choice of either “surface” or
“contour”.
Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, NBER Working Paper.