Creates an object of class GoGARCH based on Euler angles

Description

This function returns an object of class GoGARCH based on an input vector of Euler angles.

Usage

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gotheta(theta, object, garchlist = list(init.rec = "mci", delta = 2,
skew = 1, shape = 4, cond.dist = "norm", include.mean = FALSE,
include.delta = NULL, include.skew = NULL, include.shape = NULL,
leverage = NULL, trace = FALSE, algorithm = "nlminb", hessian = "ropt",
control = list(), title = NULL, description = NULL))

Arguments

theta

Vector of Euler angles.

object

An object of formal class Goinit or an extension thereof.

garchlist

List with optional elements passed to garchFit.

Details

In a first step the orthogonal matrix U is computed as the product of rotation matrices given the vector theta of Euler angles with the function UprodR. The linear map Z is computed next as Z = P D^{\frac{1}{2}} U'. The unobserved components Y are calculated as Y = X Z^{-1}. These are then utilized in the estimation of the univariate GARCH models according to object@garchf. The conditional variance/covariance matrices are calculated according to V_t = Z H_t Z' whereby H_t signifies a matrix with the conditional variances of the unvariate GARCH models on its diagonal.

Value

Returns an object of class GoGARCH.

Author(s)

Bernhard Pfaff

References

Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5), 549 – 564.

See Also

Goinit, GoGARCH, Goestml, garchFit

Examples

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## Not run: 
library(vars)
data(VDW)
var1 <- VAR(VDW, p = 1, type = "const")
resid <- resid(var1)
gin <- goinit(resid, scale = TRUE)
gotheta(0.5, gin)

## End(Not run)

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