ccgarch2: Conditional Correlation GARCH Models

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This package provides unctionalities for estimating Conditional Correlation GARCH models.

Author
Tomoaki Nakatani [aut, cre, cph]
Date of publication
2016-07-09 08:06:17
Maintainer
Tomoaki Nakatani <naktom2@gmail.com>
License
GPL (>= 2)
Version
0.0.0-42

View on R-Forge

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

Files in this package

ccgarch2/ChangeLog
ccgarch2/DESCRIPTION
ccgarch2/NAMESPACE
ccgarch2/R
ccgarch2/R/CCC.R
ccgarch2/R/DCC.R
ccgarch2/R/cDCC.R
ccgarch2/R/derivatives.R
ccgarch2/R/derivatives_DCC.R
ccgarch2/R/jb_test.R
ccgarch2/R/lb_test.R
ccgarch2/R/plot.R
ccgarch2/R/residDiag.R
ccgarch2/R/simulateCCC.R
ccgarch2/R/simulateCDCC.R
ccgarch2/R/simulateDCC.R
ccgarch2/demo
ccgarch2/demo/00Index
ccgarch2/demo/ccgarch2_demo.R
ccgarch2/demo/ccgarch2_demo2.R
ccgarch2/inst
ccgarch2/inst/CITATION
ccgarch2/man
ccgarch2/man/ccgarch2-package.Rd
ccgarch2/man/estimateCCC.Rd
ccgarch2/man/estimateCDCC.Rd
ccgarch2/man/estimateDCC.Rd
ccgarch2/man/jb_test.Rd
ccgarch2/man/lb_test.Rd
ccgarch2/man/plot.Rd
ccgarch2/man/residDiag.Rd
ccgarch2/man/simulateCCC.Rd
ccgarch2/man/simulateCDCC.Rd
ccgarch2/man/simulateDCC.Rd
ccgarch2/man/summary.ccc.Rd
ccgarch2/man/summary.cdcc.Rd
ccgarch2/man/summary.dcc.Rd
ccgarch2/src
ccgarch2/src/Makevars
ccgarch2/src/Makevars.win
ccgarch2/src/R_cdcc.c
ccgarch2/src/R_dcc.c
ccgarch2/src/R_dcc_ll2.c
ccgarch2/src/R_vector_garch.c