tscov.cgarch.estimate {tsmarch} | R Documentation |
Covariance Extractor
Description
Extracts the conditional covariance matrices.
Usage
## S3 method for class 'cgarch.estimate'
tscov(object, distribution = TRUE, ...)
## S3 method for class 'cgarch.simulate'
tscov(object, distribution = TRUE, ...)
## S3 method for class 'cgarch.predict'
tscov(object, distribution = TRUE, ...)
## S3 method for class 'dcc.estimate'
tscov(object, distribution = TRUE, ...)
## S3 method for class 'dcc.simulate'
tscov(object, distribution = TRUE, ...)
## S3 method for class 'dcc.predict'
tscov(object, distribution = TRUE, ...)
## S3 method for class 'gogarch.estimate'
tscov(object, distribution = TRUE, ...)
## S3 method for class 'gogarch.predict'
tscov(object, distribution = TRUE, ...)
## S3 method for class 'gogarch.simulate'
tscov(object, distribution = TRUE, ...)
Arguments
object |
an object class from one of the models in the package. |
distribution |
whether to return the full simulated covariance distribution for the predicted and simulated objects, else the average covariance across each horizon. |
... |
none |
Details
Estimation Object
An array of covariance matrices with time as the third dimension. The returned object has attributes ‘index’ representing the datetime and ‘series’ representing the series names.
Simulation and Prediction Objects
A 4-d array of dimensions (n_series x n_series x horizon x n_draws). If
distribution
is FALSE, then the average covariance across all draws, an
array of dimensions (n_series x n_series x horizon).
Value
the covariance (see details).
Author(s)
Alexios Galanos
[Package tsmarch version 1.0.0 Index]