mGARCHfilter-class

High Level multivariate GARCH filter class.

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

mGARCHfilter-class function

A virtual Class: No objects may be created from 
it.

Objects from the Class

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

Extends

No methods defined with class "mGARCHfilter" in the signature.

Methods

Class: Multivariate GARCH Filter Class — mGARCHfilter-class

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

mGARCHfilter-class: Class: Multivariate GARCH Filter Class

Description

Arguments

Objects from the Class

Extends

Methods