Package: gogarch 0.7-5

gogarch: Generalized Orthogonal GARCH (GO-GARCH) Models

Provision of classes and methods for estimating generalized orthogonal GARCH models. This is an alternative approach to CC-GARCH models in the context of multivariate volatility modeling.

Authors:Bernhard Pfaff [aut, cre]

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gogarch.pdf |gogarch.html
gogarch/json (API)

# Install 'gogarch' in R:
install.packages('gogarch', repos = c('https://bpfaff.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • 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
  • VDW - Dow Jones Industrial Average and Nasdaq stock indices

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.26 score 18 scripts 240 downloads 30 exports 15 dependencies

Last updated 3 years agofrom:4c66d0e299. Checks:OK: 1 NOTE: 6. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 01 2024
R-4.5-winNOTENov 01 2024
R-4.5-linuxNOTENov 01 2024
R-4.4-winNOTENov 01 2024
R-4.4-macNOTENov 01 2024
R-4.3-winNOTENov 01 2024
R-4.3-macNOTENov 01 2024

Exports:anglesccorccovcoefconvergedcoracvarformulagoestgogarchgoinitgollhgonlsgothetalogLikMplotpredictRd2residresidualsshowsummarytUmatchunvechupdateUprodRvalidGoinitObjectvalidOrthomObject

Dependencies:cvarfastICAfBasicsfGarchgbutilsgsslatticeMASSMatrixrbibutilsRdpackspatialstabledisttimeDatetimeSeries

Readme and manuals

Help Manual

Help pageTopics
Dow Jones Industrial Average and Nasdaq stock indicesBVDW
Stock prices transportation sector, oil and kerosene pricesBVDWAIR
Sector indices of the EURO STOXX 600BVDWSTOXX
Autocorrelations of a Matrix Processcora
Methods for Function goestgoest goest-methods
Class "Goestica": GO-GARCH models estimated by fast ICAccor,Goestica-method ccov,Goestica-method coef,Goestica-method converged,Goestica-method cvar,Goestica-method formula,Goestica-method goest,Goestica-method Goestica-class plot,Goestica,missing-method predict,Goestica-method resid,Goestica-method residuals,Goestica-method show,Goestica-method summary,Goestica-method update,Goestica-method
Class "Goestml": GO-GARCH models estimated by Maximum-Likelihoodangles angles,Goestml-method ccor ccor,Goestml-method ccov ccov,Goestml-method coef,Goestml-method converged converged,Goestml-method cvar cvar,Goestml-method formula,Goestml-method goest,Goestml-method Goestml-class logLik logLik,Goestml-method plot,Goestml,missing-method predict,Goestml-method resid,Goestml-method residuals,Goestml-method show,Goestml-method summary,Goestml-method update,Goestml-method
Class "Goestmm": Go-GARCH models estimated by Methods of Momentsccor,Goestmm-method ccov,Goestmm-method coef,Goestmm-method converged,Goestmm-method cvar,Goestmm-method formula,Goestmm-method goest,Goestmm-method Goestmm-class plot,Goestmm,missing-method predict,Goestmm-method resid,Goestmm-method residuals,Goestmm-method show,Goestmm-method summary,Goestmm-method update,Goestmm-method
Class "Goestnls": GO-GARCH models estimated by Non-linear Least-Squaresccor,Goestnls-method ccov,Goestnls-method coef,Goestnls-method converged,Goestnls-method cvar,Goestnls-method formula,Goestnls-method goest,Goestnls-method Goestnls-class plot,Goestnls,missing-method predict,Goestnls-method resid,Goestnls-method residuals,Goestnls-method show,Goestnls-method summary,Goestnls-method update,Goestnls-method
Specification and estimation of GO-GARCH modelsgogarch
Class "GoGARCH": Estimated GO-GARCH Modelsccor,GoGARCH-method ccov,GoGARCH-method coef,GoGARCH-method converged,GoGARCH-method cvar,GoGARCH-method formula,GoGARCH-method GoGARCH-class plot,GoGARCH,missing-method predict,GoGARCH-method resid,GoGARCH-method residuals,GoGARCH-method show,GoGARCH-method summary,GoGARCH-method update,GoGARCH-method
Constructor function for objects of class "Goinit"goinit
Class "Goinit": Initialisation of GO-GARCH modelsGoinit-class show,Goinit-method
Log-Likelihood function of GO-GARCH modelsgollh
Non-linear least-squares estimation of matrix Bgonls
Class "Gopredict": Prediction of GO-GARCH Modelsccor,Gopredict-method ccov,Gopredict-method cvar,Gopredict-method Gopredict-class show,Gopredict-method
Class "Gosum": Summary object of GO-GARCH modelGosum-class show,Gosum-method
Creates an object of class GoGARCH based on Euler anglesgotheta
Class "Orthom": Orthogonal matricesM M,Orthom-method Orthom-class print,Orthom-method show,Orthom-method t,Orthom-method
Rotation matrix, 2-dimensionalRd2
Matching of Orthogonal Matrices for Cayley transformsUmatch
Returns a symmetric matrix from a vectorunvech
Creation of an orthogonal matrixUprodR
Validation function for objects of class GoinitvalidGoinitObject
Validation function for objects of class OrthomvalidOrthomObject
Dow Jones Industrial Average and Nasdaq stock indicesVDW