| Goestica-class {gogarch} | R Documentation |
This class contains the GoGARCH class and has the mixing matrix
A as additional slot.
Objects can be created by calls of the form new("Goestmm", ...),
or with the function gogarch whereby method = "ica" has
been set.
ica:"list": List object
returned by fastICA.Z:"matrix": Transformation matrix.U:"matrix": Orthogonal matrix.Y:"matrix": Extracted
component matrix.H:"list": List of conditional
variance/covariance matrices.models:"list": List of
univariate GARCH model fits.estby:"character": Estimation method.X:"matrix": The data matrix.V:"matrix": Covariance matrix
of X.P:"matrix": Left singular
values of Var/Cov matrix of X.Dsqr:"matrix": Square roots of
eigenvalues on diagonal, else zero.garchf:"formula": Garch
formula used for uncorrelated component GARCH models.name:"character": The name of
the original data object.
Class "GoGARCH", directly.
Class "Goinit", by class "GoGARCH", distance 2.
"mts" "ts"."mts" "ts"."mts" "ts".Gopredict."mts" "ts"."mts" "ts".Goestmm.Goestml,
object is of class Gosum.Goestml.Bernhard Pfaff
Broda, S.A. and Paolella, M.S. (2008): CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation, Swiss Finance Institute, Research Paper Series No. 08-08, Zuerich.
GoGARCH, Goinit,
Gosum, Gopredict,
goest-methods and gogarch