gotheta function

Creates an object of class GoGARCH based on Euler angles

This function returns an object of class GoGARCH based on an input vector of Euler angles. latin1

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))

Arguments

• theta: Vector of Euler angles.
• object: An object of formal class Goinit or an extension thereof.
• garchlist: List with optional elements passed to garchFit.

Details

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

Returns an object of class GoGARCH.

References

Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5) , 549 -- 564.

Author(s)

Bernhard Pfaff

See Also

Goinit, GoGARCH, Goestml, garchFit

Examples

## 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)