DCC Models with GARCH-MIDAS Specifications in the Univariate Step

a_dcc_loglik | A-DCC log-likelihood (second step) |

a_dcc_mat_est | Obtains the matrix H_t and R_t, under the A-DCC model |

a_dccmidas_loglik | A-DCC-MIDAS log-likelihood (second step) |

a_dccmidas_mat_est | Obtains the matrix H_t, R_t and long-run correlations, under... |

cov_eval | Var-cov matrix evaluation |

dcc_fit | DCC fit (first and second steps) |

dcc_loglik | cDCC log-likelihood (second step) |

dcc_mat_est | Obtains the matrix H_t and R_t, under the cDCC model |

dccmidas_loglik | DCC-MIDAS log-likelihood (second step) |

dccmidas_mat_est | Obtains the matrix H_t, R_t and long-run correlations, under... |

deco_loglik | DECO log-likelihood (second step) |

deco_mat_est | Obtains the matrix H_t and R_t, under the DECO model |

Det | Matrix determinant |

ftse100 | FTSE 100 data |

grapes-pow-grapes | Power of a matrix |

indpro | Monthly U.S. Industrial Production |

Inv | Inverse of a matrix |

moving_cov_est | Obtains the matrix H_t, under the Moving Covariance model |

nasdaq | NASDAQ data |

plot_dccmidas | Plot method for 'dccmidas' class |

print.dccmidas | Print method for 'dccmidas' class |

QMLE_sd | Standard errors for the Quasi Maximum Likelihood estimator |

riskmetrics_est | RiskMetrics model |

sp500 | S&P 500 data |

summary.dccmidas | Summary method for 'dccmidas' class |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.