goGARCHspec-class {rmgarch}

class: GO-GARCH Specification Class

Description

Class for the GO-GARCH specification.

Objects from the Class

The class is returned by calling the function goGARCHspec.

Slots

model:

Multivariate model specification.

umodel:

Univariate model specification.

Extends

Class "mGARCHspec", directly. Class "GARCHspec", by class "mGARCHspec", distance 2. Class "rGARCH", by class "mGARCHspec", distance 3.

Methods

show

signature(object = "goGARCHspec"): Summary method.

Note

The mixing matrix in the GO-GARCH model implemented in the rmgarch package is based on non-parametric independent component analysis (ICA) methodology. The estimation is a 2-stage methodology described in Broda and Paolella (2009) and Zhang and Chan (2009). The extension to the use of the full multivariate affine GH distribution is detailed in Ghalanos et al (2011).

Author(s)

Alexios Galanos

References

van der Weide, R. 2002, GO-GARCH: a multivariate generalized orthogonal GARCH model, Journal of Applied Econometrics, 549–564.
Zhang, K. and Chan, L. 2009, Efficient factor GARCH models and factor-DCC models, Quantitative Finance, 71–91.
Broda, S.A. and Paolella, M.S. 2009, CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation, Journal of Financial Econometrics, 412–436.
Ghalanos, A. and Rossi, E. and Urga, G. 2011, Independent Factor Autoregressive Conditional Density Model, Pending–submitted.