The class is returned by calling the function dccsim.
msim:Object of class "vector" Multivariate
simulation list.
model:Object of class "vector" Model specification
list.
Class mGARCHsim, directly.\
Class GARCHsim object from the rugarch package, by class mGARCHsim, distance 2.\
Class rGARCH object from the rugarch package, by class mGARCHsim, distance 3.
signature(object = "DCCsim"):
The conditional mean simulated data matrix given additional argument
‘sim’ denoting the simulation run (m.sim) to return values
for.
signature(object = "DCCsim"):
The simulated dynamic conditional correlation array given additional
arguments ‘sim’ denoting the simulation run (m.sim) to
return values for, and ‘type’ (either “R” for the correlation
else will return the Q matrix). A further argument ‘output’ allows to
switch between “array” and “matrix” returned object.
signature(object = "DCCsim"):
The simulated dynamic conditional covariance array given additional argument
‘sim’ denoting the simulation run (m.sim) to return values
for. A further argument ‘output’ allows to switch between “array”
and “matrix” returned object.
signature(object = "DCCsim"):
The univariate simulated conditional sigma matrix given additional argument
‘sim’ (m.sim) denoting the simulation run to return values
for.
signature(object = "DCCsim"):
Summary.
Alexios Galanos
Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of
dynamic conditional correlation multivariate GARCH, NBER Working Paper.