pc_cccsim-class

pc_cccsim

pc_cccsim-methods

pc_cccsim,simMGarch-method

A S4 method that takes as an input a <code>simMGarch</code> object and outputs a simulated nonstationary CCC model. The formulation of the of the
piecewise constant CCC model is given in the <code>simMGarch</code> class.

Implements a segmentation algorithm for multiple change-point detection in high-dimensional GARCH processes. It simultaneously segments GARCH processes by identifying 'common' change-points, each of which can be shared by a subset or all of the component time series as a change-point in their within-series and/or cross-sectional correlation structure.

Karolos Korkas

segMGarch

Multiple Change-Point Detection for High-Dimensional GARCH
Processes

Haeran Cho

pc_cccsim-class function

<dl><dt>object</dt>
<dd>a simMGarch object</dd></dl>

Arguments

A method to simulate nonstationary high-dimensional CCC GARCH models. — pc_cccsim-class

<dl>

<dt>object</dt>
<dd>a simMGarch object</dd>

</dl>

pc_cccsim-class: A method to simulate nonstationary high-dimensional CCC GARCH models.

Description

Usage

Arguments

References

Examples