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gogarch (version 0.7-6)

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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Version

Install

install.packages('gogarch')

Monthly Downloads

402

Version

0.7-6

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

January 24th, 2026

Functions in gogarch (0.7-6)

Goinit-class

Class "Goinit": Initialisation of GO-GARCH models
Goestmm-class

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

Validation function for objects of class Orthom
cora

Autocorrelations of a Matrix Process
goest-methods

Methods for Function goest
BVDWAIR

Stock prices transportation sector, oil and kerosene prices
validGoinitObject

Validation function for objects of class Goinit
Goestnls-class

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

Specification and estimation of GO-GARCH models
Gopredict-class

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

Matching of Orthogonal Matrices for Cayley transforms
gollh

Log-Likelihood function of GO-GARCH models
goinit

Constructor function for objects of class "Goinit"
gonls

Non-linear least-squares estimation of matrix B
gotheta

Creates an object of class GoGARCH based on Euler angles
unvech

Returns a symmetric matrix from a vector
Rd2

Rotation matrix, 2-dimensional
Gosum-class

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

Class "Orthom": Orthogonal matrices
UprodR

Creation of an orthogonal matrix
VDW

Dow Jones Industrial Average and Nasdaq stock indices
BVDWSTOXX

Sector indices of the EURO STOXX 600
Goestica-class

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

Class "GoGARCH": Estimated GO-GARCH Models
BVDW

Dow Jones Industrial Average and Nasdaq stock indices
Goestml-class

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