| GoGARCH-class {gogarch} | R Documentation |
Class "GoGARCH": Estimated GO-GARCH Models
Description
This class defines the slots for estimated GO-GARCH models. It
contains the class Goinit.
Objects from the Class
Objects can be created by calls of the form new("GoGARCH", ...).
Slots
Z:- Object of class
"matrix": Transformation matrix.
U:- Object of class
"Orthom": Orthonormal matrix.
Y:- Object of class
"matrix": Extracted
component matrix.
H:- Object of class
"list": List of conditional
variance/covariance matrices.
models:- Object of class
"list": List of
univariate GARCH model fits.
estby:- Object of class
"character": Estimation method.
CALL:- Object of class
"call": Result of
match.call in generating function.
X:- Object of class
"matrix": The data matrix.
V:- Object of class
"matrix": Covariance matrix
of X.
P:- Object of class
"matrix": Left singular
values of Var/Cov matrix of X.
Dsqr:- Object of class
"matrix": Square roots of
eigenvalues on diagonal, else zero.
garchf:- Object of class
"formula": Garch
formula used for uncorrelated component GARCH models.
name:- Object of class
"character": The name of
the original data object.
Extends
Class "Goinit", directly.
Methods
- cvar
- Returns the conditional variances as object with class attribute
"mts" "ts".
- ccov
- Returns the conditional co-variances as object with
class attribute
"mts" "ts".
- ccor
- Returns the conditional correlationsas object with class
attribute
"mts" "ts".
- coef
- Returns the coeffiecients of the component GARCH models.
- converged
- Returns the convergence codes of the component
GARCH models.
- formula
- Returns the formula for the component GARCH models.
- plot
- Plotting of the conditional correlations.
- predict
- Returns the conditional covariances and mean
forecasts and the forecasts of the component GARCH models, object is
of class
Gopredict.
- residuals
- Returns the residuals of the GO-GARCH model.
- show
- show-method for objects of class
GoGARCH.
- summary
- summary-method for objects of class
GoGARCH,
object is of class Gosum.
- update
- Updates an object of class
GoGARCH.
Author(s)
Bernhard Pfaff
See Also
Goinit, Gosum, Gopredict
[Package
gogarch version 0.6-9
Index]