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 |

**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

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 |

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
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