goinit | R Documentation |
This function can be utilized to create objects of class
Goinit
. These objects are the starting point for estimating
GO-GARCH models.
goinit(X, garchf = ~garch(1, 1), scale = FALSE)
X |
Matrix: the data matrix. |
garchf |
Formula: A formula object that will be used in the GARCH models of the uncorrelated components. |
scale |
Logical, if |
This function computes the variance/covariance matrix of
X
. Next the singular value decomposition is applied and the
projection matrix as well as the diagonal matrix with the square roots
of the eigen values are computed.
An object of class Goinit
.
Bernhard Pfaff
Goinit
## Not run: library(vars) data(VDW) var1 <- VAR(VDW, p = 1, type = "const") resid <- resid(var1) goinit(resid, scale = TRUE) ## End(Not run)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.