ccgarch2: Conditional Correlation GARCH Models
Version 0.0.0-42

This package provides unctionalities for estimating Conditional Correlation GARCH models.

AuthorTomoaki Nakatani [aut, cre, cph]
Date of publication2016-07-09 08:06:17
MaintainerTomoaki Nakatani <naktom2@gmail.com>
LicenseGPL (>= 2)
Version0.0.0-42
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("ccgarch2", repos="http://R-Forge.R-project.org")

Getting started

Package overview

Popular man pages

ccgarch2-package: ccgarch2: a package for simulation and estimation of...
estimateCCC: Estimating CCC-GARCH model
estimateCDCC: Estimating corrected DCC-GARCH model
estimateDCC: Estimating DCC-GARCH model
jb_test: The Lomnicki-Jarque-Bera Test of normality (JB test)
plot: Plotting method for a '"ccc"', '"dcc"' or '"cdcc"' class...
summary.ccc: Summarizing CCC-GARCH estimation
See all...

All man pages Function index File listing

Man pages

ccgarch2-package: ccgarch2: a package for simulation and estimation of...
estimateCCC: Estimating CCC-GARCH model
estimateCDCC: Estimating corrected DCC-GARCH model
estimateDCC: Estimating DCC-GARCH model
jb_test: The Lomnicki-Jarque-Bera Test of normality (JB test)
lb_test: The Ljung-Box Test for Autocorrelations (LB test)
plot: Plotting method for a '"ccc"', '"dcc"' or '"cdcc"' class...
residDiag: Residual diagnostics
simulateCCC: Simulating data from a CCC-GARCH process
simulateCDCC: Simulating data from corrected DCC-GARCH process
simulateDCC: Simulating data from a DCC-GARCH process
summary.ccc: Summarizing CCC-GARCH estimation
summary.cdcc: Summarizing corrected DCC-GARCH estimation
summary.dcc: Summarizing DCC-GARCH estimation

Functions

Files

ChangeLog
DESCRIPTION
NAMESPACE
R
R/CCC.R
R/DCC.R
R/cDCC.R
R/derivatives.R
R/derivatives_DCC.R
R/jb_test.R
R/lb_test.R
R/plot.R
R/residDiag.R
R/simulateCCC.R
R/simulateCDCC.R
R/simulateDCC.R
demo
demo/00Index
demo/ccgarch2_demo.R
demo/ccgarch2_demo2.R
inst
inst/CITATION
man
man/ccgarch2-package.Rd
man/estimateCCC.Rd
man/estimateCDCC.Rd
man/estimateDCC.Rd
man/jb_test.Rd
man/lb_test.Rd
man/plot.Rd
man/residDiag.Rd
man/simulateCCC.Rd
man/simulateCDCC.Rd
man/simulateDCC.Rd
man/summary.ccc.Rd
man/summary.cdcc.Rd
man/summary.dcc.Rd
src
src/Makevars
src/Makevars.win
src/R_cdcc.c
src/R_dcc.c
src/R_dcc_ll2.c
src/R_vector_garch.c
ccgarch2 documentation built on May 21, 2017, 3:31 a.m.

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs in the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.