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
: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.
Returns the conditional variances as object with class attribute
"mts" "ts"
.
Returns the conditional co-variances as object with
class attribute "mts" "ts"
.
Returns the conditional correlationsas object with class
attribute "mts" "ts"
.
Returns the coeffiecients of the component GARCH models.
Returns the convergence codes of the component GARCH models.
Returns the formula for the component GARCH models.
Methods of moments estimation of Go-GARCH models.
Plotting of the conditional correlations.
Returns the conditional covariances and mean
forecasts and the forecasts of the component GARCH models, object is
of class Gopredict
.
Returns the residuals of the Go-GARCH model as
object with class attribute "mts" "ts"
.
Returns the residuals of the Go-GARCH model as
object with class attribute "mts" "ts"
.
show-method for objects of class Goestmm
.
summary-method for objects of class Goestml
,
object is of class Gosum
.
Updates an object of class Goestml
.
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