Extract CGARCH Parameter Trajectory

Extract the evolution of CGARCH-specific parameters across EM iterations. Includes DCC/ADCC dynamics parameters and copula parameters.

Extract the evolution of CGARCH parameters (alpha, beta, gamma, shape) across EM iterations from an ms_diagnostics object.

Usage

extract_cgarch_trajectory(diagnostics, state = 1)

extract_cgarch_trajectory(diagnostics, state = 1)

Arguments

diagnostics

An object of class ms_diagnostics from fit_ms_varma_garch()

state

Integer state index (default 1)

Value

Data frame with columns: iteration, alpha, beta, gamma (if ADCC), shape (if MVT copula). Returns NULL if not a CGARCH model.

Data frame with columns: iteration, alpha, beta, gamma (if ADCC), shape (if MVT) Returns NULL if CGARCH parameters not found.

Examples

if (FALSE) { # \dontrun{
traj <- extract_cgarch_trajectory(diag, state = 1)
plot(traj$iteration, traj$alpha, type = "b")
} # }