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

Description

This class contains the GoGARCH class and has the weights vector and the matched orthogonal matrices \(U\) as additional slots.

Arguments

Objects from the Class

Objects can be created by calls of the form new("Goestmm", ...), or with the function gogarch whereby method = "mm" has been set.

Slots

weights:: Object of class "numeric": Weights for aggregating the matched orthogonal matrices \(U\).
Umatched:: Object of class "list": List of matched orthogonal matrices \(U\).
Z:: Object of class "matrix": Transformation matrix.
U:: Object of class "matrix": Orthogonal 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.
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 "'>GoGARCH", directly. Class "'>Goinit", by class "GoGARCH", distance 2.

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.
goest: Methods of moments estimation of Go-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 as object with class attribute "mts" "ts".
resid: Returns the residuals of the Go-GARCH model as object with class attribute "mts" "ts".
show: show-method for objects of class Goestmm.
summary: summary-method for objects of class Goestml, object is of class Gosum.
update: Updates an object of class Goestml.

References

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.