README.md
In TaoussD/EbEEMGARCH: Estimating MGARCH(1,1) model equation by equation
EbEEMGARCH
R package to estimate MGARCH(1,1) models equation by equation
This package provides various tools to simulate and estimate MGARCH(1,1) models. After, I will include tools to estimate CVaR of financial series who follow MGARCH models.
This package is based on these papers :
- C. Francq. & J.M. Zakoian, Estimating multivariate GARCH and Stochastic Correlation models equation by equation
- C. Francq. & J.M. Zakoian, Joint inference on market and estimation risks in dynamic portfolios
All these papers are available at http://perso.univ-lille3.fr/~cfrancq
Installation
The package can be installed from the sources available on the repo via this command in a R console (devtools, Rcpp and Rtools are required)
library(Rcpp)
library(devtools)
install_github("TaoussD/EbEEMGARCH")
devtools and Rcpp can be easily installed in a R console (available on CRAN)
install.packages("devtools")
install.packages("Rcpp")
If you still have troubles, please update R and install the associated Rtools.
Methods
- estimCCC.EbEE : Estimation of the parameters of a MGARCH(1,1) CCC-diagonal or semi-diagonal model equation by equation
- estimDCC.EbEE : Estimation of the parameters of a Engle or Aielli MGARCH(1,1) DCC equation by equation
- residuals_DCC : Compute residuals, Ht and Rt for Engle & Aielli DCC models (usual notations)
- GarchCCC.sim : Simulation of MGARCH(1,1) CCC-diagonal or semi-diagonal
- GarchDCC.sim : Simulation of Aielli or Engle MGARCH(1,1) DCC semi-diagonal
- MSD.CCC.EbEE : Compute mean and variance of the estimator through Monte Carlo methods for CCC models
- MSD.DCC.EbEE : Compute mean and variance of the estimator through Monte Carlo methods for DCC models
- VaR.Spherical : Compute CVaR of portfolios where yields follow a MGARCH(1,1) DCC and residuals have a spherical distribution
- VaR.FHS : Compute CVaR of portfolios where yields follow a MGARCH(1,1) DCC using FHS method
- estim.Markowitz : Compute the assets' weights and the associated CVaR using Markowitz methodology
- vech0 : vech0 operator
- inv.vech0 : Inverse of vech0 operator
- Sqrt : Square root of a symetric semi-definite positive matrix
- InvSqrt : Generalized inverse of a square root of a symetric semi-definite positive matrix
Homepage of the documentation available in R with
?EbEEMGARCH
More methods are under development
Authors
D. Taouss & C. Francq
TaoussD/EbEEMGARCH documentation built on May 9, 2019, 4:18 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
EbEEMGARCH
R package to estimate MGARCH(1,1) models equation by equation
This package provides various tools to simulate and estimate MGARCH(1,1) models. After, I will include tools to estimate CVaR of financial series who follow MGARCH models.
This package is based on these papers : - C. Francq. & J.M. Zakoian, Estimating multivariate GARCH and Stochastic Correlation models equation by equation - C. Francq. & J.M. Zakoian, Joint inference on market and estimation risks in dynamic portfolios
All these papers are available at http://perso.univ-lille3.fr/~cfrancq
Installation
The package can be installed from the sources available on the repo via this command in a R console (devtools, Rcpp and Rtools are required)
library(Rcpp)
library(devtools)
install_github("TaoussD/EbEEMGARCH")
devtools and Rcpp can be easily installed in a R console (available on CRAN)
install.packages("devtools")
install.packages("Rcpp")
If you still have troubles, please update R and install the associated Rtools.
Methods
- estimCCC.EbEE : Estimation of the parameters of a MGARCH(1,1) CCC-diagonal or semi-diagonal model equation by equation
- estimDCC.EbEE : Estimation of the parameters of a Engle or Aielli MGARCH(1,1) DCC equation by equation
- residuals_DCC : Compute residuals, Ht and Rt for Engle & Aielli DCC models (usual notations)
- GarchCCC.sim : Simulation of MGARCH(1,1) CCC-diagonal or semi-diagonal
- GarchDCC.sim : Simulation of Aielli or Engle MGARCH(1,1) DCC semi-diagonal
- MSD.CCC.EbEE : Compute mean and variance of the estimator through Monte Carlo methods for CCC models
- MSD.DCC.EbEE : Compute mean and variance of the estimator through Monte Carlo methods for DCC models
- VaR.Spherical : Compute CVaR of portfolios where yields follow a MGARCH(1,1) DCC and residuals have a spherical distribution
- VaR.FHS : Compute CVaR of portfolios where yields follow a MGARCH(1,1) DCC using FHS method
- estim.Markowitz : Compute the assets' weights and the associated CVaR using Markowitz methodology
- vech0 : vech0 operator
- inv.vech0 : Inverse of vech0 operator
- Sqrt : Square root of a symetric semi-definite positive matrix
- InvSqrt : Generalized inverse of a square root of a symetric semi-definite positive matrix
Homepage of the documentation available in R with
?EbEEMGARCH
More methods are under development
Authors
D. Taouss & C. Francq
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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.