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:
gogarch_0.7-5.tar.gz
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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')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 3 years agofrom:4c66d0e299. Checks:OK: 1 NOTE: 6. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 01 2024 |
R-4.5-win | NOTE | Nov 01 2024 |
R-4.5-linux | NOTE | Nov 01 2024 |
R-4.4-win | NOTE | Nov 01 2024 |
R-4.4-mac | NOTE | Nov 01 2024 |
R-4.3-win | NOTE | Nov 01 2024 |
R-4.3-mac | NOTE | Nov 01 2024 |
Exports:anglesccorccovcoefconvergedcoracvarformulagoestgogarchgoinitgollhgonlsgothetalogLikMplotpredictRd2residresidualsshowsummarytUmatchunvechupdateUprodRvalidGoinitObjectvalidOrthomObject
Dependencies:cvarfastICAfBasicsfGarchgbutilsgsslatticeMASSMatrixrbibutilsRdpackspatialstabledisttimeDatetimeSeries
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Dow Jones Industrial Average and Nasdaq stock indices | BVDW |
Stock prices transportation sector, oil and kerosene prices | BVDWAIR |
Sector indices of the EURO STOXX 600 | BVDWSTOXX |
Autocorrelations of a Matrix Process | cora |
Methods for Function goest | goest goest-methods |
Class "Goestica": GO-GARCH models estimated by fast ICA | ccor,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-Likelihood | angles 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 Moments | ccor,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-Squares | ccor,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 models | gogarch |
Class "GoGARCH": Estimated GO-GARCH Models | ccor,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 models | Goinit-class show,Goinit-method |
Log-Likelihood function of GO-GARCH models | gollh |
Non-linear least-squares estimation of matrix B | gonls |
Class "Gopredict": Prediction of GO-GARCH Models | ccor,Gopredict-method ccov,Gopredict-method cvar,Gopredict-method Gopredict-class show,Gopredict-method |
Class "Gosum": Summary object of GO-GARCH model | Gosum-class show,Gosum-method |
Creates an object of class GoGARCH based on Euler angles | gotheta |
Class "Orthom": Orthogonal matrices | M M,Orthom-method Orthom-class print,Orthom-method show,Orthom-method t,Orthom-method |
Rotation matrix, 2-dimensional | Rd2 |
Matching of Orthogonal Matrices for Cayley transforms | Umatch |
Returns a symmetric matrix from a vector | unvech |
Creation of an orthogonal matrix | UprodR |
Validation function for objects of class Goinit | validGoinitObject |
Validation function for objects of class Orthom | validOrthomObject |
Dow Jones Industrial Average and Nasdaq stock indices | VDW |