rmgarch (version 1.2-9)

goGARCHfft-class: Class: GO-GARCH portfolio density

Description

Class for the GO-GARCH portfolio density

Objects from the Class

The class is returned by calling the function convolution on objects of class goGARCHfit, goGARCHfilter, goGARCHforecast, goGARCHsim and goGARCHroll

notes

In the case that convolution was called on a goGARCHforecast or goGARCHroll object, the dist slot will contain the max of n.ahead or n.roll. There should be no confusion here since the multivariate forecast methods in rmgarch only allow either n.ahead>1 with n.roll = 0 (pure unconditional), or n.ahead = 1 with n.roll>=0 (pure rolling), and only the latter in the case of a gogarchroll. While the nportmoments method reconstitutes the forecasts into a more familiar form (n.ahead x n.moments x (n.roll+1)), this does not make sense for the distribution methods (d*, p*, and q*), and it is understood that when the user calls for example dfft(object, index=5) on an object created from a forecast with n.ahead=10 and n.roll=0, the index is meant to indicate the unconditional density forecast at time T+5. Similarly, when calling code{dfft(object, index=0)} on an object created from a forecast with n.ahead=1 and n.roll = 1 (remember that n.roll is zero based), the index is meant to indicate the first (of two, since rolls = 0:1) rolling forecast density.