gotheta: Creates an object of class GoGARCH based on Euler angles

In gogarch: Generalized Orthogonal GARCH (GO-GARCH) Models

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

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

## 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)

gogarch documentation built on April 29, 2022, 5:06 p.m.