Class for the GO-GARCH portfolio density
The class is returned by calling the function convolution on
objects of class goGARCHfit, goGARCHfilter,
goGARCHforecast, goGARCHsim and
goGARCHroll
dist:A list with the portfolio density and other details.
model:A list with the model details carried across objects.
signature(object = "goGARCHfft"):
The takes additional argument “index” to indicate the particular time
point, and returns an interpolated density function which may be called like
any other “d” type density function.
signature(object = "goGARCHfft")
The takes additional argument “index” to indicate the particular time
point, and returns an interpolated distribution function which may be called
like any other “p” type distribution function.
signature(object = "goGARCHfft")
This takes additional argument “index” to indicate the particular time
point, and returns an interpolated quantile function which may be called like
any other “q” type quantile function. This may also be used to generate
pseudo-random variables from the distribution by using random standard uniform
numbers as inputs.
signature(object = "goGARCHfft"):
Calculate and returns a matrix of the first 4 standardized moments by evaluation
of the portfolio density using quadrature based method (i.e. calling R's
“integrate” function on the portfolio FFT based density). Depending on
the GOGARCH class the density was based (e.g. goGARCHfit vs goGARCHforecast),
the format of the output will be different, and generally follow the
format ‘rules’ of that class.
Alexios Galanos