The class is returned by calling the function cgarchsim.
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 = "cGARCHsim"):
The simulated conditional returns matrix given. Takes optional argument
“sim” indicating the simulation run to return (from the m.sim option
of the cgarchsim method.
signature(object = "cGARCHsim"):
The simulated conditional sigma matrix given. Takes optional argument
“sim” indicating the simulation run to return (from the m.sim option
of the cgarchsim method.
signature(object = "cGARCHsim"):
The simulated conditional correlation array (for DCC type). Takes optional
argument “sim” indicating the simulation run to return (from the
m.sim option of the cgarchsim method. A further argument
‘output’ allows to switch between “array”
and “matrix” returned object.
signature(object = "cGARCHsim"):
The simulated conditional covariance array. Takes optional argument
“sim” indicating the simulation run to return
(from the m.sim option of the cgarchsim method.
A further argument ‘output’ allows to switch between “array”
and “matrix” returned object.
signature(object = "cGARCHsim"):
Summary.
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.