Gopredict-class: Class "Gopredict": Prediction of GO-GARCH Models

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

Class "Gopredict": Prediction of GO-GARCH Models

Description

This class defines the slots for forecasts from a GO-GARCH model.

Objects from the Class

Objects can be created by calls of the form new("Gopredict", ...), or with the method predict of formal class objects GoGARCH and Goestml.

Slots

Hf:

Object of class "list": The forecasted conditional covariances.

Xf:

Object of class "matrix": The transformed forecasts of the component GARCH mean models.

CGARCHF:

Object of class "list": The original forecasts of the component GARCH models.

Methods

ccor

Returns the forecasted conditional correlations.

ccov

Returns the forecasted conditional co-variances.

cvar

Returns the forecasted conditional variances.

show

show-method for objects of class Gopredict.

Note

In case more than 10 forecasts steps are computed, the show-method displays only the head of the returned objects. Furthermore, the show-method displays the forecasted conditional variances only. The forecasted conditional co-variances and/or the forecasted conditional correlations can be retrieved with the methods ccov or ccor, respectively.

Author(s)

Bernhard Pfaff

See Also

GoGARCH, Goestml

gogarch documentation built on April 28, 2022, 3 p.m.