rmgarch (version 1.2-9)

goGARCHspec-class: class: GO-GARCH Specification Class

Description

Class for the GO-GARCH specification.

Objects from the Class

The class is returned by calling the function goGARCHspec.

Extends

Class "mGARCHspec", directly. Class "GARCHspec", by class "mGARCHspec", distance 2. Class "rGARCH", by class "mGARCHspec", distance 3.

References

van der Weide, R. 2002, GO-GARCH: a multivariate generalized orthogonal GARCH model, Journal of Applied Econometrics, 549--564. Zhang, K. and Chan, L. 2009, Efficient factor GARCH models and factor-DCC models, Quantitative Finance, 71--91. Broda, S.A. and Paolella, M.S. 2009, CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation, Journal of Financial Econometrics, 412--436. Ghalanos, A. and Rossi, E. and Urga, G. 2011, Independent Factor Autoregressive Conditional Density Model, Pending--submitted.