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

Goestica-class {gogarch}

R Documentation

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

Description

This class contains the GoGARCH class and has the mixing matrix A as additional slot.

Objects from the Class

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

Slots

ica:: Object of class "list": List object returned by fastICA.
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: Fast ICA 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.

Author(s)

Bernhard Pfaff

References

Broda, S.A. and Paolella, M.S. (2008): CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation, Swiss Finance Institute, Research Paper Series No. 08-08, Zuerich.