goinit function

Constructor function for objects of class "Goinit"

This function can be utilized to create objects of class Goinit. These objects are the starting point for estimating GO-GARCH models. latin1

goinit(X, garchf = ~garch(1, 1), scale = FALSE)

Arguments

• X: Matrix: the data matrix.
• garchf: Formula: A formula object that will be used in the GARCH models of the uncorrelated components.
• scale: Logical, if TRUE the data X will be scaled, the default value is FALSE for no scaling of the data.

Details

This function computes the variance/covariance matrix of X. Next the singular value decomposition is applied and the projection matrix as well as the diagonal matrix with the square roots of the eigen values are computed.

Returns

An object of class Goinit.

Author(s)

Bernhard Pfaff

See Also

Goinit

Examples

## Not run:

library(vars)
data(VDW)
var1 <- VAR(VDW, p = 1, type = "const")
resid <- resid(var1)
goinit(resid, scale = TRUE)
## End(Not run)