gogarch (version 0.7-0)

goinit: Constructor function for objects of class "Goinit"

Description

This function can be utilized to create objects of class Goinit. These objects are the starting point for estimating GO-GARCH models.

Usage

goinit(X, garchf = ~garch(1, 1), scale = FALSE)

Arguments

X

Matrix: the data matrix.

garchf

Formula: A formula object that will be used in the GARCH models of the uncorrelated components.

scale

Logical, if TRUE the data X will be scaled, the default value is FALSE for no scaling of the data.

Value

• An object of class Goinit.

encoding

latin1

concept

• GO-GARCH
• SVD
• Singular Value Decomposition

Details

This function computes the variance/covariance matrix of X. Next the singular value decomposition is applied and the projection matrix as well as the diagonal matrix with the square roots of the eigen values are computed.

See Also

Goinit

Examples

library(vars)
data(VDW)
var1 <- VAR(VDW, p = 1, type = "const")
resid <- resid(var1)
goinit(resid, scale = TRUE)