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

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

Files in this package

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