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rmgarch (version 1.3-7)

cGARCHfit-class: class: Copula Fit Class

Description

The class is returned by calling the function cgarchfit.

Arguments

Slots

mfit:

Object of class "vector" Multivariate fit list.

model:

Object of class "vector" Model specification list.

Extends

Class "'>mGARCHfit", directly. Class "'>GARCHfit", by class "mGARCHfit", distance 2. Class "'>rGARCH", by class "mGARCHfit", distance 3.

Methods

coef

signature(object = "cGARCHfit"): The coefficient vector (see note).

fitted

signature(object = "cGARCHfit"): The conditional mean fitted data (xts object).

likelihood

signature(object = "cGARCHfit"): The joint likelihood.

rcor

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.

rcov

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.

rshape

signature(object = "cGARCHfit"): The multivariate distribution shape parameter(s).

rskew

signature(object = "cGARCHfit"): The multivariate distribution skew parameter(s).

residuals

signature(object = "cGARCHfit"): The model residuals (xts object).

show

signature(object = "cGARCHfit"): Summary.

sigma

signature(object = "cGARCHfit"): The model conditional sigma (xts object).

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.