goGARCHspec-class

show,goGARCHspec-method

Class for the GO-GARCH specification.

classes

Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH. See Boudt, Galanos, Payseur and Zivot (2019) for a review of multivariate GARCH models <doi:10.1016/bs.host.2019.01.001>.

Alexios Ghalanos

rmgarch

Multivariate GARCH Models

goGARCHspec-class function

The class is returned by calling the function <code><a href="/link/?package=rmgarch&version=1.3-7" gogarchspec'="" data-mini-rdoc="rmgarch::"></a>'>goGARCHspec</code>.

Objects from the Class

<dl class="dl-horizontal">
 <dt><code>model</code>:</dt><dd>Multivariate model specification.</dd>
 <dt><code>umodel</code>:</dt><dd>Univariate model specification.</dd>
 </dl>

Slots

Class <code>"<a href="/link/?package=rmgarch&version=1.3-7" mgarchspec'="" data-mini-rdoc="rmgarch::"></a>'>mGARCHspec"</code>, directly.
Class <code>"<a href="/link/?package=rmgarch&version=1.3-7" garchspec'="" data-mini-rdoc="rmgarch::"></a>'>GARCHspec"</code>, by class "mGARCHspec", distance 2.
Class <code>"<a href="/link/?package=rmgarch&version=1.3-7" rgarch'="" data-mini-rdoc="rmgarch::"></a>'>rGARCH"</code>, by class "mGARCHspec", distance 3.

Extends

<dl class="dl-horizontal">
<dt>show</dt><dd><code>signature(object = "goGARCHspec")</code>: Summary method.</dd>
</dl>

Methods

class: GO-GARCH Specification Class — goGARCHspec-class

The class is returned by calling the function <code><a href='<a href='goGARCHspec'></a>'>goGARCHspec</a></code>.

<dl class='dl-horizontal'>
 <dt><code>model</code>:</dt><dd>Multivariate model specification.</dd>
 <dt><code>umodel</code>:</dt><dd>Univariate model specification.</dd>
 </dl>

Class <code>"<a href='<a href='mGARCHspec'></a>'>mGARCHspec</a>"</code>, directly.
Class <code>"<a href='<a href='GARCHspec'></a>'>GARCHspec</a>"</code>, by class "mGARCHspec", distance 2.
Class <code>"<a href='<a href='rGARCH'></a>'>rGARCH</a>"</code>, by class "mGARCHspec", distance 3.

<dl class='dl-horizontal'>
<dt>show</dt><dd><code>signature(object = "goGARCHspec")</code>: Summary method.</dd>
</dl>

goGARCHspec-class: class: GO-GARCH Specification Class

Description

Arguments

Objects from the Class

Slots

Extends

Methods

References