gogarch: Generalized Orthogonal GARCH (GO-GARCH) models

Implementation of the GO-GARCH model class

AuthorBernhard Pfaff [aut, cre]
Date of publication2012-07-28 13:54:24
MaintainerBernhard Pfaff <bernhard@pfaffikus.de>
LicenseGPL (>= 2)
Version0.7-2

View on CRAN

Man pages

BVDW: Dow Jones Industrial Average and Nasdaq stock indices

BVDWAIR: Stock prices transportation sector, oil and kerosene prices

BVDWSTOXX: Sector indices of the EURO STOXX 600

cora: Autocorrelations of a Matrix Process

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

goest-methods: Methods for Function goest

Goestml-class: Class "Goestml": GO-GARCH models estimated by...

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

Goestnls-class: Class "Goestnls": GO-GARCH models estimated by Non-linear...

gogarch: Specification and estimation of GO-GARCH models

GoGARCH-class: Class "GoGARCH": Estimated GO-GARCH Models

goinit: Constructor function for objects of class "Goinit"

Goinit-class: Class "Goinit": Initialisation of GO-GARCH models

gollh: Log-Likelihood function of GO-GARCH models

gonls: Non-linear least-squares estimation of matrix B

Gopredict-class: Class "Gopredict": Prediction of GO-GARCH Models

Gosum-class: Class "Gosum": Summary object of GO-GARCH model

gotheta: Creates an object of class GoGARCH based on Euler angles

Orthom-class: Class "Orthom": Orthogonal matrices

Rd2: Rotation matrix, 2-dimensional

Umatch: Matching of Orthogonal Matrices for Cayley transforms

unvech: Returns a symmetric matrix from a vector

UprodR: Creation of an orthogonal matrix

validGoinitObject: Validation function for objects of class Goinit

validOrthomObject: Validation function for objects of class Orthom

VDW: Dow Jones Industrial Average and Nasdaq stock indices

Functions

angles Man page
angles,Goestml-method Man page
BVDW Man page
BVDWAIR Man page
BVDWSTOXX Man page
ccor Man page
ccor,Goestica-method Man page
ccor,Goestml-method Man page
ccor,Goestmm-method Man page
ccor,Goestnls-method Man page
ccor,GoGARCH-method Man page
ccor,Gopredict-method Man page
ccov Man page
ccov,Goestica-method Man page
ccov,Goestml-method Man page
ccov,Goestmm-method Man page
ccov,Goestnls-method Man page
ccov,GoGARCH-method Man page
ccov,Gopredict-method Man page
coef,Goestica-method Man page
coef,Goestml-method Man page
coef,Goestmm-method Man page
coef,Goestnls-method Man page
coef,GoGARCH-method Man page
converged Man page
converged,Goestica-method Man page
converged,Goestml-method Man page
converged,Goestmm-method Man page
converged,Goestnls-method Man page
converged,GoGARCH-method Man page
cora Man page
cvar Man page
cvar,Goestica-method Man page
cvar,Goestml-method Man page
cvar,Goestmm-method Man page
cvar,Goestnls-method Man page
cvar,GoGARCH-method Man page
cvar,Gopredict-method Man page
formula,Goestica-method Man page
formula,Goestml-method Man page
formula,Goestmm-method Man page
formula,Goestnls-method Man page
formula,GoGARCH-method Man page
goest Man page
goest,Goestica-method Man page
goest,Goestml-method Man page
goest,Goestmm-method Man page
goest,Goestnls-method Man page
Goestica-class Man page
goest-methods Man page
Goestml-class Man page
Goestmm-class Man page
Goestnls-class Man page
gogarch Man page
GoGARCH-class Man page
goinit Man page
Goinit-class Man page
gollh Man page
gonls Man page
Gopredict-class Man page
Gosum-class Man page
gotheta Man page
logLik Man page
logLik,Goestml-method Man page
M Man page
M,Orthom-method Man page
Orthom-class Man page
plot,Goestica,missing-method Man page
plot,Goestml,missing-method Man page
plot,Goestmm,missing-method Man page
plot,Goestnls,missing-method Man page
plot,GoGARCH,missing-method Man page
predict,Goestica-method Man page
predict,Goestml-method Man page
predict,Goestmm-method Man page
predict,Goestnls-method Man page
predict,GoGARCH-method Man page
print,Orthom-method Man page
Rd2 Man page
resid,Goestica-method Man page
resid,Goestml-method Man page
resid,Goestmm-method Man page
resid,Goestnls-method Man page
resid,GoGARCH-method Man page
residuals,Goestica-method Man page
residuals,Goestml-method Man page
residuals,Goestmm-method Man page
residuals,Goestnls-method Man page
residuals,GoGARCH-method Man page
show,Goestica-method Man page
show,Goestml-method Man page
show,Goestmm-method Man page
show,Goestnls-method Man page
show,GoGARCH-method Man page
show,Goinit-method Man page
show,Gopredict-method Man page
show,Gosum-method Man page
show,Orthom-method Man page
summary,Goestica-method Man page
summary,Goestml-method Man page
summary,Goestmm-method Man page
summary,Goestnls-method Man page
summary,GoGARCH-method Man page
t,Orthom-method Man page
Umatch Man page
unvech Man page
update,Goestica-method Man page
update,Goestml-method Man page
update,Goestmm-method Man page
update,Goestnls-method Man page
update,GoGARCH-method Man page
UprodR Man page
validGoinitObject Man page
validOrthomObject Man page
VDW Man page

Files

gogarch
gogarch/MD5
gogarch/man
gogarch/man/Goestica-class.Rd gogarch/man/gogarch.Rd gogarch/man/Orthom-class.Rd gogarch/man/BVDWSTOXX.Rd gogarch/man/validGoinitObject.Rd gogarch/man/validOrthomObject.Rd gogarch/man/Goestmm-class.Rd gogarch/man/VDW.Rd gogarch/man/Goinit-class.Rd gogarch/man/goest-methods.Rd gogarch/man/Umatch.Rd gogarch/man/goinit.Rd gogarch/man/gonls.Rd gogarch/man/Goestml-class.Rd gogarch/man/gollh.Rd gogarch/man/Rd2.Rd gogarch/man/UprodR.Rd gogarch/man/unvech.Rd gogarch/man/cora.Rd gogarch/man/GoGARCH-class.Rd gogarch/man/gotheta.Rd gogarch/man/Gosum-class.Rd gogarch/man/BVDWAIR.Rd gogarch/man/BVDW.Rd gogarch/man/Gopredict-class.Rd gogarch/man/Goestnls-class.Rd
gogarch/DESCRIPTION
gogarch/inst
gogarch/inst/Talks
gogarch/inst/Talks/pfaff-meielisalp.pdf
gogarch/inst/ChangeLog
gogarch/NAMESPACE
gogarch/R
gogarch/R/Methods-M.R gogarch/R/Methods-angles.R gogarch/R/Methods-formula.R gogarch/R/Methods-logLik.R gogarch/R/Methods-coef.R gogarch/R/All-classes.R gogarch/R/Methods-predict.R gogarch/R/Functions.R gogarch/R/Methods-t.R gogarch/R/Methods-ccov.R gogarch/R/Methods-print.R gogarch/R/Methods-show.R gogarch/R/Methods-summary.R gogarch/R/All-generics.R gogarch/R/Methods-goest.R gogarch/R/Methods-update.R gogarch/R/Methods-residuals.R gogarch/R/Methods-cvar.R gogarch/R/Methods-resid.R gogarch/R/Methods-plot.R gogarch/R/Validation.R gogarch/R/Methods-ccor.R gogarch/R/Methods-converged.R
gogarch/data
gogarch/data/VDW.rda
gogarch/data/BVDWAIR.rda
gogarch/data/BVDWSTOXX.rda
gogarch/data/BVDW.rda

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All documentation is copyright its authors; we didn't write any of that.