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gogarch (version 0.7-0)

Generalized Orthogonal GARCH (GO-GARCH) models

Description

Implementation of the GO-GARCH model class

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Version

Install

install.packages('gogarch')

Monthly Downloads

402

Version

0.7-0

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

March 24th, 2011

Functions in gogarch (0.7-0)

BVDW

Dow Jones Industrial Average and Nasdaq stock indices

Rd2

Rotation matrix, 2-dimensional

gonls

Non-linear least-squares estimation of matrix B

Goinit-class

Class "Goinit": Initialisation of GO-GARCH models

GoGARCH-class

Class "GoGARCH": Estimated GO-GARCH Models

validOrthomObject

Validation function for objects of class Orthom

BVDWSTOXX

Sector indices of the EURO STOXX 600

VDW

Dow Jones Industrial Average and Nasdaq stock indices

goinit

Constructor function for objects of class "Goinit"

Gosum-class

Class "Gosum": Summary object of GO-GARCH model

unvech

Returns a symmetric matrix from a vector

gogarch

Specification and estimation of GO-GARCH models

UprodR

Creation of an orthogonal matrix

Goestnls-class

Class "Goestnls": GO-GARCH models estimated by Non-linear Least-Squares

gollh

Log-Likelihood function of GO-GARCH models

Goestica-class

Class "Goestica": GO-GARCH models estimated by fast ICA

Umatch

Matching of Orthogonal Matrices for Cayley transforms

goest-methods

Methods for Function goest

BVDWAIR

Stock prices transportation sector, oil and kerosene prices

gotheta

Creates an object of class GoGARCH based on Euler angles

Orthom-class

Class "Orthom": Orthogonal matrices

Goestml-class

Class "Goestml": GO-GARCH models estimated by Maximum-Likelihood

validGoinitObject

Validation function for objects of class Goinit

Gopredict-class

Class "Gopredict": Prediction of GO-GARCH Models

Goestmm-class

Class "Goestmm": Go-GARCH models estimated by Methods of Moments

cora

Autocorrelations of a Matrix Process