Description Objects from the Class Slots Extends Methods Author(s) References See Also

This class contains the `GoGARCH`

class and has the weights
vector and the matched orthogonal matrices *U* as additional
slots.

Objects can be created by calls of the form `new("Goestmm", ...)`

,
or with the function `gogarch`

whereby `method = "mm"`

has
been set.

`weights`

:Object of class

`"numeric"`

: Weights for aggregating the matched orthogonal matrices*U*.`Umatched`

:Object of class

`"list"`

: List of matched orthogonal matrices*U*.`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.

- 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 class`Gosum`

.- update
Updates an object of class

`Goestml`

.

Bernhard Pfaff

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.

`GoGARCH`

, `Goinit`

,
`Gosum`

, `Gopredict`

,
`goest-methods`

, `gogarch`

,
`Umatch`

gogarch documentation built on May 29, 2017, 9:22 p.m.

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