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

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Description

This class contains the GoGARCH class and has the weights vector and the matched orthogonal matrices U 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 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.

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 class Gosum.

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

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