dcc_modelspec.tsgarch.multi_estimate {tsmarch} | R Documentation |
DCC GARCH model specification
Description
DCC GARCH model specification
Usage
## S3 method for class 'tsgarch.multi_estimate'
dcc_modelspec(
object,
dynamics = c("constant", "dcc", "adcc"),
dcc_order = c(1, 1),
distribution = c("mvn", "mvt"),
cond_mean = NULL,
...
)
Arguments
object |
an object of class “tsgarch.multi_estimate”. |
dynamics |
the type of correlation dynamics to use. |
dcc_order |
the order of the dynamics in case of “dcc” or “adcc” correlation models. |
distribution |
the multivariate distribution. If using the “mvt”, then the first stage univariate models should use the normal distribution. |
cond_mean |
an optional matrix of the conditional mean for the series. |
... |
not currently used. |
Value
an object of class “dcc.spec”.
[Package tsmarch version 1.0.0 Index]