goGARCHspec-class: class: GO-GARCH Specification Class
In rgarch: Flexible GARCH modelling in R

Description Objects from the Class Slots Extends Methods Note Author(s) References

Class for the GO-GARCH specification.

The class is returned by calling the function goGARCHspec.

mspec:: Multivariate specification.
uspec:: Univariate GARCH specification object of class "uGARCHspec".

Class "mGARCHspec", directly. Class "GARCHspec", by class "mGARCHspec", distance 2. Class "rGARCH", by class "mGARCHspec", distance 3.

show: signature(object = "goGARCHspec"): Summary method for the spec object.

The mixing matrix in the GO-GARCH model implemented in the rgarch package is based on non-parametric independent component analysis (ICA) methodology. The estimation is a 2-stage methodology described in both Broda and Paolella (2009) and Zhang and Chan (2009).

Alexios Ghalanos

van der Weide, R. GO-GARCH: a multivariate generalized orthogonal GARCH model, 2002, Journal of Applied Econometrics, pages 549-564.
Zhang, K. and Chan, L. Efficient factor GARCH models and factor-DCC models, 2009, Quantitative Finance, pages 71-91.
Broda, S.A. and Paolella, M.S. CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation, 2009, Journal of Financial Econometrics, pages 412-436.

rgarch documentation built on May 2, 2019, 5:22 p.m.