Conditional Correlation GARCH models

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 |

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