| Goestmm-class {gogarch} | R Documentation |
This class contains the GoGARCH class and has the weights
vector and the matched orthogonal matrices U as additional
slots.
Objects can be created by calls of the form new("Goestmm", ...),
or with the function gogarch whereby method = "mm" has
been set.
weights:"numeric": Weights for
aggregating the matched orthogonal matrices U.Umatched:"list": List of
matched orthogonal matrices U.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
Boswijk, H. Peter and van der Weide, Roy (2009), Method of Moments Estimation of GO-GARCH Models, Working Paper, University of Amsterdam, Tinbergen Institute and World Bank.
GoGARCH, Goinit,
Gosum, Gopredict,
goest-methods, gogarch,
Umatch