ccgarch: Conditional Correlation GARCH models

Functions for estimating and simulating the family of the CC-GARCH models.

AuthorTomoaki Nakatani <naktom2@gmail.com>
Date of publication2014-03-24 08:31:26
MaintainerTomoaki Nakatani <naktom2@gmail.com>
LicenseGPL (>= 2)
Version0.2.3

View on CRAN

Man pages

analytical_grad: Analytical gradient of the log-likelihood function of the...

analytical_Hessian: Analytical Hessian of the (E)CCC-GARCH

d2lv: Hessian of the DCC log-likelihood function

dcc_est: Dynamic conditional correlations

dcc_estimation: Estimating an (E)DCC-GARCH model

dcc_estimation1: Maximising the first stage log-likelihood function of the...

dcc_estimation2: Maximising the second stage log-likelihood function of the...

dcc_results: Computing robust standard errors of the estimates in the...

dcc_sim: Simulating an (E)DCC-GARCH(1,1) process

dlc: Various partial derivatives of the DCC part of the...

dlv: Gradient of the GARCH part of the log-likelihood function of...

dlv_est: Gradient of the GARCH part of the log-likelihood function of...

eccc_estimation: Estimating an (E)CCC-GARCH model

eccc_sim: Simulating an (E)CCC-GARCH(1,1) process

fourth: Fourth-order moment condition for the vector GARCH equation

grad_dcc2: Numerical gradient of the DCC part of the log-likelihood...

grad_full_likelihood: Numerical gradient of the full log-likelihood function of the...

hh_test: Carrying out the test of Hafner and Herwartz

jb_test: The Lomnicki-Jarque-Bera Test of normality (JB test)

ljung_box_test: The Ljung-Box Test statistic

loglik_dcc: The log-likelihood function for the (E)DCC GARCH model

loglik_dcc1: The 1st stage log-likelihood function for the (E)DCC GARCH

loglik_dcc2: The 2nd stage log-likelihood function for the (E)DCC GARCH

loglik_eccc: The log-likelihood function of the (E)CCC-GARCH model

nt_test: Carrying out the test of Nakatani and Ter\"asvirta

p_mat: Re-arranging a vector into parameter matrices

rob_kr: Computing standard and robustified excess kurtosis

rob_sk: Computing standard and robustified skewness

stationarity: The stationarity condition in Extended CC-GARCH models

stcc_sim: Simulating Data from an STCC-GARCH$(1,1)$ process

tr_func: Logistic transition function

uni_vola: Computing univariate GARCH(1,1) conditional variances

uni_vola_sim: Simulating a series with univariate GARCH(1,1) conditional...

vdR: Computing partial derivatives of the CCC matrix

vec_garch_derivative: Computing partial derivatives of a vector GARCH(1, 1)...

vector_garch: A vector GARCH(1,1) conditional variances

Functions

analytical.grad Man page
analytical.Hessian Man page
d2lv Man page
dcc.est Man page
dcc.estimation Man page
dcc.estimation1 Man page
dcc.estimation2 Man page
dcc.results Man page
dcc.sim Man page
dlc Man page
dlv Man page
dlv.est Man page
eccc.estimation Man page
eccc.sim Man page
fourth Man page
grad.dcc2 Man page
grad.dcc.full Man page
hh.test Man page
jb.test Man page
ljung.box.test Man page
loglik.dcc Man page
loglik.dcc1 Man page
loglik.dcc2 Man page
loglik.eccc Man page
nt.test Man page
p.mat Man page
rob.kr Man page
rob.sk Man page
stationarity Man page
stcc.sim Man page
tr.func Man page
uni.vola Man page
uni.vola.sim Man page
vdR Man page
vec.garch.derivative Man page
vector.garch Man page

Files

ccgarch
ccgarch/inst
ccgarch/inst/CITATION
ccgarch/src
ccgarch/src/Makevars
ccgarch/src/R_dcc_sim.c
ccgarch/src/R_uni_vola_sim.c
ccgarch/src/R_uni_vola.c
ccgarch/src/R_stcc_sim.c
ccgarch/src/R_vector_garch.c
ccgarch/src/Makevars.win
ccgarch/src/R_eccc_sim.c
ccgarch/src/R_dcc.c
ccgarch/NAMESPACE
ccgarch/R
ccgarch/R/uni_vola.R ccgarch/R/robust_kurtosis.R ccgarch/R/vec.garch.derivative.R ccgarch/R/loglik_dcc.R ccgarch/R/d2lv.R ccgarch/R/simulate_eccc.R ccgarch/R/simulate_dcc.R ccgarch/R/analytical_Hessian.R ccgarch/R/p_mat.R ccgarch/R/dcc_estimation2.R ccgarch/R/dlv_est.R ccgarch/R/dcc_estimation.R ccgarch/R/dlc.R ccgarch/R/loglik_eccc.R ccgarch/R/dlv.R ccgarch/R/grad_dcc2.R ccgarch/R/uni_vola_sim.R ccgarch/R/loglik_dcc2.R ccgarch/R/hh_test.R ccgarch/R/robust_skewness.R ccgarch/R/vector_garch.R ccgarch/R/analytical_grad.R ccgarch/R/jb_test.R ccgarch/R/loglik_dcc1.R ccgarch/R/tr_func.R ccgarch/R/ljung_box_test.R ccgarch/R/grad_dcc_full.R ccgarch/R/simulate_stcc.R ccgarch/R/fourth.R ccgarch/R/stationarity.R ccgarch/R/deriv_R.R ccgarch/R/R_dcc.R ccgarch/R/eccc_estimation.R ccgarch/R/dcc_estimation1.R ccgarch/R/nt_test.R ccgarch/R/dcc_results.R
ccgarch/MD5
ccgarch/DESCRIPTION
ccgarch/ChangeLog
ccgarch/man
ccgarch/man/uni_vola.Rd ccgarch/man/rob_kr.Rd ccgarch/man/stcc_sim.Rd ccgarch/man/loglik_eccc.Rd ccgarch/man/fourth.Rd ccgarch/man/dcc_est.Rd ccgarch/man/eccc_sim.Rd ccgarch/man/dcc_estimation1.Rd ccgarch/man/p_mat.Rd ccgarch/man/eccc_estimation.Rd ccgarch/man/tr_func.Rd ccgarch/man/dlv_est.Rd ccgarch/man/d2lv.Rd ccgarch/man/uni_vola_sim.Rd ccgarch/man/vector_garch.Rd ccgarch/man/analytical_Hessian.Rd ccgarch/man/vdR.Rd ccgarch/man/stationarity.Rd ccgarch/man/dcc_estimation.Rd ccgarch/man/grad_full_likelihood.Rd ccgarch/man/vec_garch_derivative.Rd ccgarch/man/grad_dcc2.Rd ccgarch/man/loglik_dcc.Rd ccgarch/man/loglik_dcc2.Rd ccgarch/man/dcc_results.Rd ccgarch/man/ljung_box_test.Rd ccgarch/man/analytical_grad.Rd ccgarch/man/dcc_sim.Rd ccgarch/man/jb_test.Rd ccgarch/man/loglik_dcc1.Rd ccgarch/man/rob_sk.Rd ccgarch/man/nt_test.Rd ccgarch/man/dlc.Rd ccgarch/man/hh_test.Rd ccgarch/man/dcc_estimation2.Rd ccgarch/man/dlv.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.