Man pages for hoanguc3m/ccgarch
Conditional Correlation GARCH models

analytical_gradAnalytical gradient of the log-likelihood function of the...
analytical_HessianAnalytical Hessian of the (E)CCC-GARCH
d2lvHessian of the DCC log-likelihood function
dcc_estDynamic conditional correlations
dcc_estimationEstimating an (E)DCC-GARCH model
dcc_estimation1Maximising the first stage log-likelihood function of the...
dcc_estimation2Maximising the second stage log-likelihood function of the...
dcc_resultsComputing robust standard errors of the estimates in the...
dcc_simSimulating an (E)DCC-GARCH(1,1) process
dlcVarious partial derivatives of the DCC part of the...
dlvGradient of the GARCH part of the log-likelihood function of...
dlv_estGradient of the GARCH part of the log-likelihood function of...
eccc_estimationEstimating an (E)CCC-GARCH model
eccc_simSimulating an (E)CCC-GARCH(1,1) process
fourthFourth-order moment condition for the vector GARCH equation
grad_dcc2Numerical gradient of the DCC part of the log-likelihood...
grad_full_likelihoodNumerical gradient of the full log-likelihood function of the...
hh_testCarrying out the test of Hafner and Herwartz
jb_testThe Lomnicki-Jarque-Bera Test of normality (JB test)
ljung_box_testThe Ljung-Box Test statistic
loglik_dccThe log-likelihood function for the (E)DCC GARCH model
loglik_dcc1The 1st stage log-likelihood function for the (E)DCC GARCH
loglik_dcc2The 2nd stage log-likelihood function for the (E)DCC GARCH
loglik_ecccThe log-likelihood function of the (E)CCC-GARCH model
nt_testCarrying out the test of Nakatani and Ter\"asvirta
p_matRe-arranging a vector into parameter matrices
rob_krComputing standard and robustified excess kurtosis
rob_skComputing standard and robustified skewness
stationarityThe stationarity condition in Extended CC-GARCH models
stcc_simSimulating Data from an STCC-GARCH$(1,1)$ process
tr_funcLogistic transition function
uni_volaComputing univariate GARCH(1,1) conditional variances
uni_vola_simSimulating a series with univariate GARCH(1,1) conditional...
vdRComputing partial derivatives of the CCC matrix
vec_garch_derivativeComputing partial derivatives of a vector GARCH(1, 1)...
vector_garchA vector GARCH(1,1) conditional variances
hoanguc3m/ccgarch documentation built on April 30, 2018, 12:27 a.m.