Generalized Orthogonal GARCH (GO-GARCH) Models
Autocorrelations of a Matrix Process
Methods for Function goest
Class "Goestica": GO-GARCH models estimated by fast ICA
Class "Goestml": GO-GARCH models estimated by Maximum-Likelihood
Class "Goestmm": Go-GARCH models estimated by Methods of Moments
Class "Goestnls": GO-GARCH models estimated by Non-linear Least-Square...
Class "GoGARCH": Estimated GO-GARCH Models
Specification and estimation of GO-GARCH models
Class "Goinit": Initialisation of GO-GARCH models
Constructor function for objects of class "Goinit"
Log-Likelihood function of GO-GARCH models
Non-linear least-squares estimation of matrix B
Class "Gopredict": Prediction of GO-GARCH Models
Class "Gosum": Summary object of GO-GARCH model
Creates an object of class GoGARCH based on Euler angles
Class "Orthom": Orthogonal matrices
Rotation matrix, 2-dimensional
Matching of Orthogonal Matrices for Cayley transforms
Returns a symmetric matrix from a vector
Creation of an orthogonal matrix
Validation function for objects of class Goinit
Validation function for objects of class Orthom
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.