rmgarch (version 1.3-9)

DCCspec-class: class: DCC Specification Class

Description

The class is returned by calling the function dccspec.

Slots

model:

Object of class "vector" The multivariate model specification list.

umodel:

Object of class "vector" The univariate model specification list.

Extends

Class "'>mGARCHspec", directly. Class "'>GARCHspec", by class "mGARCHspec", distance 2. Class "'>rGARCH", by class "mGARCHspec", distance 3.

Methods

setfixed<-

signature(object = "DCCspec", value = "vector"): Set fixed second stage parameters.

setstart<-

signature(object = "DCCspec", value = "vector"): Set starting second stage parameters.

show

signature(object = "DCCspec"): Summary.

References

Croux, C. and Joossens, K. 2008, Robust estimation of the vector autoregressive model by a least trimmed squares procedure, COMPSTAT, 489--501. Cappiello, L., Engle, R.F. and Sheppard, K. 2006, Asymmetric dynamics in the correlations of global equity and bond returns, Journal of Financial Econometrics 4, 537--572. Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, NBER Working Paper.