The class is returned by calling the function dccroll.
mforecast:Object of class "vector" Multivariate
forecast list.
model:Object of class "vector" Model specification
list.
Class "'>mGARCHroll", directly.
Class "'>GARCHroll", by class "mGARCHroll", distance 2.
Class "'>rGARCH", by class "mGARCHroll", distance 3.
signature(object = "DCCroll"):
The coefficient array across the rolling estimations with a T+0
3rd dimension index label.
signature(object = "DCCroll"):
The conditional mean forecast xts object (with the actual T+i forecast
dates as index).
signature(object = "DCCroll"):
The log-likelihood across rolling estimations.
signature(x = "DCCroll", y = "missing"):
Plot method, given additional arguments ‘series’ and ‘which’.
signature(object = "DCCroll"):
The forecast dynamic conditional correlation array, with the T+i forecast
index in the 3rd dimension label. Optional argument ‘type’
determines whether to return “R” for the correlation else will
the DCC Q matrix. A further argument ‘output’ allows to switch
between “array” and “matrix” returned object.
signature(object = "DCCroll"):
The forecast dynamic conditional covariance array, with the T+i forecast
index in the 3rd dimension label. A further argument
‘output’ allows to switch between “array”
and “matrix” returned object.
signature(object = "DCCroll"):
The multivariate distribution shape parameter(s).
signature(object = "DCCroll"):
The multivariate distribution skew parameter(s).
signature(object = "DCCroll"):
Summary.
signature(object = "DCCroll"):
The conditional sigma forecast xts object (with the actual T+i forecast
dates as index).
Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, NBER Working Paper.