All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

apca | Asymptotic Principal Component Analysis |

archTest | ARCH test for univariate time series |

backtest | Backtesting of a scalar ARIMA model |

BEKK11 | BEKK Model |

Btfm2 | Back-Test of a Transfer Function Model with Two Input... |

BVAR | Bayesian Vector Autoregression |

ccm | Cross-Correlation Matrices |

comVol | Common Volatility |

Corner | Compute the Corner table for transfer function model... |

dccFit | Dynamic Cross-Correlation Model Fitting |

dccPre | Preliminary Fitting of DCC Models |

diffM | Difference of multivariate time series |

Eccm | Extended Cross-Correlation Matrices |

ECMvar | Error-Correction VAR Models |

ECMvar1 | Error-Correction VAR Model 1 |

EWMAvol | Exponentially Weighted Moving-Average Volatility |

FEVdec | Forecast Error Variance Decomposition |

GrangerTest | Granger Causality Test |

hfactor | Constrained Factor Model |

ibmspko | Monthly simple returns of the stocks of International... |

Kronfit | Fitting a VARMA Model via Kronecker Index |

Kronid | Kronecker Index Identification |

Kronpred | Prediction of a fitted VARMA model via Kronfit, using... |

Kronspec | Kronecler Index Specification |

MarchTest | Multivariate ARCH test |

MCHdiag | Multivariate Conditional Heteroscedastic Model Checking |

MCholV | Multivariate Cholesky Volatility Model |

Mlm | Multivariate Linear Model |

mq | Multivariate Ljung-Box Q Statistics |

msqrt | Square Root Matrix |

mtCopula | Multivariate t-Copula Volatility Model |

MTSdiag | Multivariate Time Series Diagnostic Checking |

MTS-internal | MTS Internal Functions |

MTS-package | Multivariate Time Series |

MTSplot | Multivariate Time Series Plot |

Mtxprod | Polynomial Matrix Product |

Mtxprod1 | Alternative Polynomial Matrix Product |

PIwgt | Pi Weight Matrices |

PSIwgt | Psi Wights Matrices |

qgdp | Quarterly real gross domestic products of United Kingdom,... |

refECMvar | Refining Error-Correction Model for VAR series |

refECMvar1 | Refining ECM for a VAR process |

refKronfit | Refining VARMA Estimation via Kronecker Index Approach |

refREGts | Refining a Regression Model with Time Series Errors |

refSCMfit | Refining Estimation of VARMA Model via SCM Approach |

refsVARMA | Refining a Seasonal VARMA Model |

refVAR | Refining a VAR Model |

refVARMA | Refining VARMA Estimation |

refVARX | Refining a VARX Model |

refVMA | Refining VMA Models |

refVMAe | Refining VMA Estimation via the Exact Likelihood Method |

REGts | Regression Model with Time Series Errors |

REGtspred | Prediction of a fitted regression model with time series... |

RLS | Recursive Least Squares |

SCCor | Sample Constrained Correlations |

SCMfit | Scalar Component Model Fitting |

SCMid | Scalar Component Identification |

SCMid2 | Scalar Component Model Specification II |

SCMmod | Scalar Component Model specification |

sVARMA | Seasonal VARMA Model Estimation |

sVARMACpp | Seasonal VARMA Model Estimation (Cpp) |

sVARMApred | Prediction of a fitted multiplicative seasonal VARMA model |

SWfore | Stock-Watson Diffusion Index Forecasts |

tenstocks | Monthly simple returns of ten U.S. stocks |

tfm | Transfer Function Model |

tfm1 | Transfer Function Model with One Input |

tfm2 | Transfer Function Model with Two Input Variables |

VAR | Vector Autoregressive Model |

VARMA | Vector Autoregressive Moving-Average Models |

VARMAcov | Autocovariance Matrices of a VARMA Model |

VARMACpp | Vector Autoregressive Moving-Average Models (Cpp) |

VARMAirf | Impulse Response Functions of a VARMA Model |

VARMApred | VARMA Prediction |

VARMAsim | Generating a VARMA Process |

VARorder | VAR Order Specification |

VARorderI | VAR order specification I |

VARpred | VAR Prediction |

VARpsi | VAR Psi-weights |

VARs | VAR Model with Selected Lags |

VARX | VAR Model with Exogenous Variables |

VARXirf | Impluse response function of a fitted VARX model |

VARXorder | VARX Order Specification |

VARXpred | VARX Model Prediction |

Vech | Half-Stacking Vector of a Symmetric Matrix |

VechM | Matrix constructed from output of the Vech Command. In other... |

VMA | Vector Moving Average Model |

VMACpp | Vector Moving Average Model (Cpp) |

VMAe | VMA Estimation with Exact likelihood |

VMAorder | VMA Order Specification |

VMAs | VMA Model with Selected Lags |

Vmiss | VARMA Model with Missing Value |

Vpmiss | Partial Missing Value of a VARMA Series |

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