Goestmm-class {gogarch} | R Documentation |
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 as additional
slots.
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.
Umatched
:Object of class
"list"
: List of matched orthogonal matrices.
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 ofX
.P
:Object of class
"matrix"
: Left singular values of Var/Cov matrix ofX
.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 classGosum
.- update
Updates an object of class
Goestml
.
Author(s)
Bernhard Pfaff
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.
See Also
GoGARCH
, Goinit
,
Gosum
, Gopredict
,
goest-methods
, gogarch
,
Umatch