GoGARCH-class {gogarch} | R Documentation |
Class "GoGARCH": Estimated GO-GARCH Models
Description
This class defines the slots for estimated GO-GARCH models. It
contains the class Goinit
.
Objects from the Class
Objects can be created by calls of the form new("GoGARCH", ...)
.
Slots
Z
:- Object of class
"matrix"
: Transformation matrix.
U
:- Object of class
"Orthom"
: Orthonormal matrix.
Y
:- Object of class
"matrix"
: Extracted
component matrix.
H
:- Object of class
"list"
: List of conditional
variance/covariance matrices.
models
:- Object of class
"list"
: List of
univariate GARCH model fits.
estby
:- Object of class
"character"
: Estimation method.
CALL
:- Object of class
"call"
: Result of
match.call
in generating function.
X
:- Object of class
"matrix"
: The data matrix.
V
:- Object of class
"matrix"
: Covariance matrix
of X
.
P
:- Object of class
"matrix"
: Left singular
values of Var/Cov matrix of X
.
Dsqr
:- Object of class
"matrix"
: Square roots of
eigenvalues on diagonal, else zero.
garchf
:- Object of class
"formula"
: Garch
formula used for uncorrelated component GARCH models.
name
:- Object of class
"character"
: The name of
the original data object.
Extends
Class "Goinit"
, directly.
Methods
- cvar
- Returns the conditional variances as object with class attribute
"mts" "ts"
.
- ccov
- Returns the conditional co-variances as object with
class attribute
"mts" "ts"
.
- ccor
- Returns the conditional correlationsas object with class
attribute
"mts" "ts"
.
- coef
- Returns the coeffiecients of the component GARCH models.
- converged
- Returns the convergence codes of the component
GARCH models.
- formula
- Returns the formula for the component GARCH models.
- plot
- Plotting of the conditional correlations.
- predict
- Returns the conditional covariances and mean
forecasts and the forecasts of the component GARCH models, object is
of class
Gopredict
.
- residuals
- Returns the residuals of the GO-GARCH model.
- show
- show-method for objects of class
GoGARCH
.
- summary
- summary-method for objects of class
GoGARCH
,
object is of class Gosum
.
- update
- Updates an object of class
GoGARCH
.
Author(s)
Bernhard Pfaff
See Also
Goinit
, Gosum
, Gopredict
[Package
gogarch version 0.6-8
Index]