Method for creating a DCC-GARCH filter object.
dccfilter(spec, data, out.sample = 0, filter.control = list(n.old = NULL),
cluster = NULL, varcoef = NULL, realizedVol = NULL, ...)A '>DCCspec object created by calling
dccspec with fixed parameters for the coefficients.
A multivariate data object of class xts, or one which can be coerced to such.
A positive integer indicating the number of periods before the last to keep for out of sample forecasting.
Control arguments passed to the filtering routine (see note.
A cluster object created by calling makeCluster from
the parallel package. If it is not NULL, then this will be used for parallel
estimation (remember to stop the cluster on completion).
If a VAR model was chosen, then this is the VAR coefficient matrix which must be supplied. No checks are done on its dimension or correctness so it is up to the user to perform the appropriate checks.
Required xts matrix for the realGARCH model.
.
A '>DCCfilter object containing details of the DCC-GARCH
filter.