rmgarch (version 1.3-7)

cGARCHfilter-class: 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).

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.