# ccgarch: Conditional Correlation GARCH models

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

- Author
- Tomoaki Nakatani <naktom2@gmail.com>
- Date of publication
- 2014-03-24 08:31:26
- Maintainer
- Tomoaki Nakatani <naktom2@gmail.com>
- License
- GPL (>= 2)
- Version
- 0.2.3

## 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