gogarch: Generalized Orthogonal GARCH (GO-GARCH) models

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Implementation of the GO-GARCH model class

Author
Bernhard Pfaff [aut, cre]
Date of publication
2012-07-15 10:58:06
Maintainer
Bernhard Pfaff <bernhard@pfaffikus.de>
License
GPL (>= 2)
Version
0.7-2

View on R-Forge

Man pages

BVDW
Dow Jones Industrial Average and Nasdaq stock indices
BVDWAIR
Stock prices transportation sector, oil and kerosene prices
BVDWSTOXX
Sector indices of the EURO STOXX 600
cora
Autocorrelations of a Matrix Process
Goestica-class
Class "Goestica": GO-GARCH models estimated by fast ICA
goest-methods
Methods for Function goest
Goestml-class
Class "Goestml": GO-GARCH models estimated by...
Goestmm-class
Class "Goestmm": Go-GARCH models estimated by Methods of...
Goestnls-class
Class "Goestnls": GO-GARCH models estimated by Non-linear...
gogarch
Specification and estimation of GO-GARCH models
GoGARCH-class
Class "GoGARCH": Estimated GO-GARCH Models
goinit
Constructor function for objects of class "Goinit"
Goinit-class
Class "Goinit": Initialisation of GO-GARCH models
gollh
Log-Likelihood function of GO-GARCH models
gonls
Non-linear least-squares estimation of matrix B
Gopredict-class
Class "Gopredict": Prediction of GO-GARCH Models
Gosum-class
Class "Gosum": Summary object of GO-GARCH model
gotheta
Creates an object of class GoGARCH based on Euler angles
Orthom-class
Class "Orthom": Orthogonal matrices
Rd2
Rotation matrix, 2-dimensional
Umatch
Matching of Orthogonal Matrices for Cayley transforms
unvech
Returns a symmetric matrix from a vector
UprodR
Creation of an orthogonal matrix
validGoinitObject
Validation function for objects of class Goinit
validOrthomObject
Validation function for objects of class Orthom
VDW
Dow Jones Industrial Average and Nasdaq stock indices

Files in this package

gogarch/DESCRIPTION
gogarch/NAMESPACE
gogarch/R
gogarch/R/All-classes.R
gogarch/R/All-generics.R
gogarch/R/Functions.R
gogarch/R/Methods-M.R
gogarch/R/Methods-angles.R
gogarch/R/Methods-ccor.R
gogarch/R/Methods-ccov.R
gogarch/R/Methods-coef.R
gogarch/R/Methods-converged.R
gogarch/R/Methods-cvar.R
gogarch/R/Methods-formula.R
gogarch/R/Methods-goest.R
gogarch/R/Methods-logLik.R
gogarch/R/Methods-plot.R
gogarch/R/Methods-predict.R
gogarch/R/Methods-print.R
gogarch/R/Methods-resid.R
gogarch/R/Methods-residuals.R
gogarch/R/Methods-show.R
gogarch/R/Methods-summary.R
gogarch/R/Methods-t.R
gogarch/R/Methods-update.R
gogarch/R/Validation.R
gogarch/data
gogarch/data/BVDW.rda
gogarch/data/BVDWAIR.rda
gogarch/data/BVDWSTOXX.rda
gogarch/data/VDW.rda
gogarch/inst
gogarch/inst/ChangeLog
gogarch/inst/Talks
gogarch/inst/Talks/pfaff-meielisalp.pdf
gogarch/man
gogarch/man/BVDW.Rd
gogarch/man/BVDWAIR.Rd
gogarch/man/BVDWSTOXX.Rd
gogarch/man/GoGARCH-class.Rd
gogarch/man/Goestica-class.Rd
gogarch/man/Goestml-class.Rd
gogarch/man/Goestmm-class.Rd
gogarch/man/Goestnls-class.Rd
gogarch/man/Goinit-class.Rd
gogarch/man/Gopredict-class.Rd
gogarch/man/Gosum-class.Rd
gogarch/man/Orthom-class.Rd
gogarch/man/Rd2.Rd
gogarch/man/Umatch.Rd
gogarch/man/UprodR.Rd
gogarch/man/VDW.Rd
gogarch/man/cora.Rd
gogarch/man/goest-methods.Rd
gogarch/man/gogarch.Rd
gogarch/man/goinit.Rd
gogarch/man/gollh.Rd
gogarch/man/gonls.Rd
gogarch/man/gotheta.Rd
gogarch/man/unvech.Rd
gogarch/man/validGoinitObject.Rd
gogarch/man/validOrthomObject.Rd