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", by class "mGARCHsim", distance 2.
Class "'>rGARCH", 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.
Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, NBER Working Paper.