Goestica-class | R Documentation |
This class contains the GoGARCH
class and has the mixing matrix
A as additional slot.
Objects can be created by calls of the form new("Goestmm", ...)
,
or with the function gogarch
whereby method = "ica"
has
been set.
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.
Class "GoGARCH"
, directly.
Class "Goinit"
, by class "GoGARCH", distance 2.
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.
Fast ICA 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
.
Bernhard Pfaff
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.
GoGARCH
, Goinit
,
Gosum
, Gopredict
,
goest-methods
and gogarch
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.