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gogarch (version 0.7-5)

Generalized Orthogonal GARCH (GO-GARCH) Models

Description

Provision of classes and methods for estimating generalized orthogonal GARCH models. This is an alternative approach to CC-GARCH models in the context of multivariate volatility modeling.

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Install

install.packages('gogarch')

Monthly Downloads

288

Version

0.7-5

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

April 29th, 2022

Functions in gogarch (0.7-5)

Goestnls-class

Class "Goestnls": GO-GARCH models estimated by Non-linear Least-Squares
Goestica-class

Class "Goestica": GO-GARCH models estimated by fast ICA
Goestml-class

Class "Goestml": GO-GARCH models estimated by Maximum-Likelihood
Goestmm-class

Class "Goestmm": Go-GARCH models estimated by Methods of Moments
Goinit-class

Class "Goinit": Initialisation of GO-GARCH models
BVDW

Dow Jones Industrial Average and Nasdaq stock indices
GoGARCH-class

Class "GoGARCH": Estimated GO-GARCH Models
BVDWAIR

Stock prices transportation sector, oil and kerosene prices
BVDWSTOXX

Sector indices of the EURO STOXX 600
Rd2

Rotation matrix, 2-dimensional
gogarch

Specification and estimation of GO-GARCH models
goinit

Constructor function for objects of class "Goinit"
Orthom-class

Class "Orthom": Orthogonal matrices
VDW

Dow Jones Industrial Average and Nasdaq stock indices
Gosum-class

Class "Gosum": Summary object of GO-GARCH model
Gopredict-class

Class "Gopredict": Prediction of GO-GARCH Models
gotheta

Creates an object of class GoGARCH based on Euler angles
UprodR

Creation of an orthogonal matrix
gonls

Non-linear least-squares estimation of matrix B
unvech

Returns a symmetric matrix from a vector
gollh

Log-Likelihood function of GO-GARCH models
cora

Autocorrelations of a Matrix Process
validGoinitObject

Validation function for objects of class Goinit
validOrthomObject

Validation function for objects of class Orthom
goest-methods

Methods for Function goest
Umatch

Matching of Orthogonal Matrices for Cayley transforms