gogarch: Generalized Orthogonal GARCH (GO-GARCH) models

Implementation of the GO-GARCH model class

AuthorBernhard Pfaff [aut, cre]
Date of publication2012-07-15 10:58:06
MaintainerBernhard Pfaff <bernhard@pfaffikus.de>
LicenseGPL (>= 2)
Version0.7-2

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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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

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