The class is returned by calling the function dccfilter.
mfilter:Object of class "vector". Multivariate filter
list.
model:Object of class "vector". Model specification
list.
Class "'>mGARCHfilter", directly.
Class "'>GARCHfilter", by class "mGARCHfilter", distance 2.
Class "'>rGARCH", by class "mGARCHfilter", distance 3.
signature(object = "DCCfilter")
The coefficient vector (see note).
signature(object = "DCCfilter"):
The joint likelihood.
signature(object = "DCCfilter"):
The multivariate distribution shape parameter(s).
signature(object = "DCCfilter"):
The multivariate distribution skew parameter(s).
signature(object = "DCCfilter"):
The filtered conditional mean xts object.
signature(object = "DCCfilter"):
The filtered conditional sigma xts object.
signature(object = "DCCfilter"):
The filtered conditional mean residuals xts object.
signature(x = "DCCfilter", y = "missing"):
Plot method, given additional arguments ‘series’ and ‘which’.
signature(object = "DCCfilter"):
Information criteria.
signature(object = "DCCfilter"):
The filtered dynamic conditional correlation array given additional
argument ‘type’ (either “R” for the
correlation else will return the “Q” matrix). The third dimension
label of the array gives the time index (from which it is then possible to
construct pairwise xts objects for example). A further argument ‘output’
allows to switch between “array” and “matrix” returned object.
signature(object = "DCCfilter"):
The filtered dynamic conditional covariance array. The third dimension
label of the array gives the time index (from which it is then possible to
construct pairwise xts objects for example). A further argument ‘output’
allows to switch between “array” and “matrix” returned object.
signature(object = "DCCfilter"):
Summary.
signature(object = "DCCfilter"):
The news impact surface plot given additional arguments ‘type’ with
either “cov” or “cor” (for the covariance and correlation news
impact respectively), ‘pair’ denoting the asset pair (defaults to
c(1,2)), ‘plot’ (logical) and ‘plot.type’ with a choice of
either “surface” or “contour”.
Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, NBER Working Paper.