Goestica-class {gogarch} | R Documentation |
This class contains the GoGARCH
class and has the mixing matrix
A as additional slot.
Objects can be created by calls of the form new("Goestmm", ...)
,
or with the function gogarch
whereby method = "ica"
has
been set.
ica
:"list"
: List object
returned by fastICA
.Z
:"matrix"
: Transformation matrix.U
:"matrix"
: Orthogonal matrix.Y
:"matrix"
: Extracted
component matrix.H
:"list"
: List of conditional
variance/covariance matrices.models
:"list"
: List of
univariate GARCH model fits.estby
:"character"
: Estimation method.X
:"matrix"
: The data matrix.V
:"matrix"
: Covariance matrix
of X
.P
:"matrix"
: Left singular
values of Var/Cov matrix of X
.Dsqr
:"matrix"
: Square roots of
eigenvalues on diagonal, else zero.garchf
:"formula"
: Garch
formula used for uncorrelated component GARCH models.name
:"character"
: The name of
the original data object.
Class "GoGARCH"
, directly.
Class "Goinit"
, by class "GoGARCH", distance 2.
"mts" "ts"
."mts" "ts"
."mts" "ts"
.Gopredict
."mts" "ts"
."mts" "ts"
.Goestmm
.Goestml
,
object is of class Gosum
.Goestml
.Bernhard Pfaff
Broda, S.A. and Paolella, M.S. (2008): CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation, Swiss Finance Institute, Research Paper Series No. 08-08, Zuerich.
GoGARCH
, Goinit
,
Gosum
, Gopredict
,
goest-methods
and gogarch