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 object from the rugarch package, by class mGARCHfit, distance 2.\
Class rGARCH object from the rugarch package, 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).
Alexios Galanos
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.