Gopredict-class

ccor,Gopredict-method

ccov,Gopredict-method

cvar,Gopredict-method

show,Gopredict-method

This class defines the slots for forecasts from a GO-GARCH model.

classes

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.

Bernhard Pfaff

gogarch

Generalized Orthogonal GARCH (GO-GARCH) Models

Gopredict-class function

Objects can be created by calls of the form <code>new("Gopredict",
 ...)</code>, or with the method <code>predict</code> of formal class objects
 <code>GoGARCH</code> and <code>Goestml</code>.

Objects from the Class

<dl class="dl-horizontal">
 <dt><code>Hf</code>:</dt><dd>Object of class <code>"list"</code>: The forecasted
	 conditional covariances.</dd>
 <dt><code>Xf</code>:</dt><dd>Object of class <code>"matrix"</code>: The transformed
	 forecasts of the component GARCH mean models.</dd>
 <dt><code>CGARCHF</code>:</dt><dd>Object of class <code>"list"</code>: The original
	 forecasts of the component GARCH models.</dd>
 </dl>

Slots

<dl class="dl-horizontal">
 <dt>ccor</dt><dd>Returns the forecasted conditional correlations.</dd>
 <dt>ccov</dt><dd>Returns the forecasted conditional co-variances.</dd>
 <dt>cvar</dt><dd>Returns the forecasted conditional variances.</dd>
 <dt>show</dt><dd>show-method for objects of class <code>Gopredict</code>.</dd>
 </dl>

Methods

Class "Gopredict": Prediction of GO-GARCH Models — Gopredict-class

<dl class='dl-horizontal'>
 <dt><code>Hf</code>:</dt><dd>Object of class <code>"list"</code>: The forecasted
	 conditional covariances.</dd>
 <dt><code>Xf</code>:</dt><dd>Object of class <code>"matrix"</code>: The transformed
	 forecasts of the component GARCH mean models.</dd>
 <dt><code>CGARCHF</code>:</dt><dd>Object of class <code>"list"</code>: The original
	 forecasts of the component GARCH models.</dd>
 </dl>

<dl class='dl-horizontal'>
 <dt>ccor</dt><dd>Returns the forecasted conditional correlations.</dd>
 <dt>ccov</dt><dd>Returns the forecasted conditional co-variances.</dd>
 <dt>cvar</dt><dd>Returns the forecasted conditional variances.</dd>
 <dt>show</dt><dd>show-method for objects of class <code>Gopredict</code>.</dd>
 </dl>

Gopredict-class: Class "Gopredict": Prediction of GO-GARCH Models

Description

Arguments

Objects from the Class

Slots

Methods

See Also