The class is returned by calling the function dccroll.
mforecast:Object of class "vector" Multivariate
forecast list.
model:Object of class "vector" Model specification
list.
Class mGARCHroll, directly.\
Class GARCHroll object from the rugarch package, by class mGARCHroll, distance 2.\
Class rGARCH object from the rugarch package, by class mGARCHroll, distance 3.
signature(object = "DCCroll"):
The coefficient array across the rolling estimations with a T+0
3rd dimension index label.
signature(object = "DCCroll"):
The conditional mean forecast xts object (with the actual T+i forecast
dates as index).
signature(object = "DCCroll"):
The log-likelihood across rolling estimations.
signature(x = "DCCroll", y = "missing"):
Plot method, given additional arguments ‘series’ and ‘which’.
signature(object = "DCCroll"):
The forecast dynamic conditional correlation array, with the T+i forecast
index in the third dimension label. Optional argument ‘type’
determines whether to return “R” for the correlation else will return
the DCC Q matrix. A further argument ‘output’ allows to switch
between “array” and “matrix” returned object.
signature(object = "DCCroll"):
The forecast dynamic conditional covariance array, with the T+i forecast
index in the 3rd dimension label. A further argument
‘output’ allows to switch between “array”
and “matrix” returned object.
signature(object = "DCCroll"):
The multivariate distribution shape parameter(s).
signature(object = "DCCroll"):
The multivariate distribution skew parameter(s).
signature(object = "DCCroll"):
Summary.
signature(object = "DCCroll"):
The conditional sigma forecast xts object (with the actual T+i forecast
dates as index).
Alexios Galanos
Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of
dynamic conditional correlation multivariate GARCH, NBER Working Paper.