The class is returned by calling the function cgarchfit.
mfit:Object of class "vector" Multivariate fit 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 = "cGARCHfit"):
The coefficient vector (see note).
signature(object = "cGARCHfit"):
The conditional mean fitted data (xts object).
signature(object = "cGARCHfit"):
The joint likelihood.
signature(object = "cGARCHfit"):
The conditional correlation array with third dimension labels the time index.
A further argument ‘output’ allows to switch between “array”
and “matrix” returned object.
signature(object = "cGARCHfit"):
The conditional covariance array with third dimension labels the time index.
A further argument ‘output’ allows to switch between “array”
and “matrix” returned object.
signature(object = "cGARCHfit"):
The multivariate distribution shape parameter(s).
signature(object = "cGARCHfit"):
The multivariate distribution skew parameter(s).
signature(object = "cGARCHfit"):
The model residuals (xts object).
signature(object = "cGARCHfit"):
Summary.
signature(object = "cGARCHfit"):
The model conditional sigma (xts object).
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.