The class is returned by calling the function dccspec.
model:Object of class "vector" The multivariate model
specification list.
umodel:Object of class uGARCHmultispec from the rugarch package:
the univariate model specification.
Class mGARCHspec, directly.\
Class GARCHspec object from the rugarch package, by class mGARCHspec, distance 2.\
Class rGARCH object from the rugarch package, by class mGARCHspec, distance 3.
signature(object = "DCCspec", value = "vector"):
Set fixed second stage parameters.
signature(object = "DCCspec", value = "vector"):
Set starting second stage parameters.
signature(object = "DCCspec"):
Summary.
Alexios Galanos
Croux, C. and Joossens, K. 2008, Robust estimation of the vector autoregressive
model by a least trimmed squares procedure, COMPSTAT, 489--501.
Cappiello, L., Engle, R.F. and Sheppard, K. 2006, Asymmetric dynamics in the
correlations of global equity and bond returns, Journal of Financial
Econometrics 4, 537--572.
Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of
dynamic conditional correlation multivariate GARCH, NBER Working Paper.