gotheta {gogarch} | R Documentation |
This function returns an object of class GoGARCH
based on an
input vector of Euler angles.
gotheta(theta, object, garchlist = list(init.rec = "mci", delta = 2,
skew = 1, shape = 4, cond.dist = "norm", include.mean = FALSE,
include.delta = NULL, include.skew = NULL, include.shape = NULL,
leverage = NULL, trace = FALSE, algorithm = "nlminb", hessian = "ropt",
control = list(), title = NULL, description = NULL))
theta |
Vector of Euler angles. |
object |
An object of formal class |
garchlist |
List with optional elements passed to |
In a first step the orthogonal matrix U
is computed as the
product of rotation matrices given the vector theta
of Euler
angles with the function UprodR
. The linear map Z
is
computed next as Z = P D^{\frac{1}{2}} U'
. The unobserved
components Y
are calculated as Y = X Z^{-1}
. These are
then utilized in the estimation of the univariate GARCH models
according to object@garchf
. The conditional variance/covariance
matrices are calculated according to V_t = Z H_t Z'
whereby
H_t
signifies a matrix with the conditional variances of the
unvariate GARCH models on its diagonal.
Returns an object of class GoGARCH
.
Bernhard Pfaff
Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5), 549 – 564.
Goinit
, GoGARCH
,
Goestml
, garchFit
## Not run:
library(vars)
data(VDW)
var1 <- VAR(VDW, p = 1, type = "const")
resid <- resid(var1)
gin <- goinit(resid, scale = TRUE)
gotheta(0.5, gin)
## End(Not run)