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ccgarch (version 0.1.4-2)

Conditional Correlation GARCH models

Description

Functions for estimating and simulating the family of the CC-GARCH models.

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Install

install.packages('ccgarch')

Monthly Downloads

3

Version

0.1.4-2

License

GPL (>= 2)

Maintainer

Tomoaki Nakatani

Last Published

May 29th, 2009

Functions in ccgarch (0.1.4-2)

grad.dcc2

Numerical gradient of the DCC part of the log-likelihood function
dcc.estimation1

Maximising the first stage log-likelihood function of the (E)DCC-GARCH model
fourth

Fourth-order moment condition for the vector GARCH equation
loglik.dcc

The log-likelihood function for the (E)DCC GARCH model
d2lv

Hessian of the DCC log-likelihood function
dlv.est

Gradient of the GARCH part of the log-likelihood function of the DCC GARCH model
ljung.box.test

The Ljung-Box Test statistic
vec.garch.derivative

Computing partial derivatives of a vector GARCH(1, 1) equation
loglik.dcc1

The 1st stage log-likelihood function for the (E)DCC GARCH
dcc.est

Dynamic conditional correlations
dlc

Various partial derivatives of the DCC part of the log-likelihood function
uni.vola

Computing univariate GARCH(1,1) conditional variances
loglik.eccc

The log-likelihood function of the (E)CCC-GARCH model
stcc.sim

Simulating Data from an STCC-GARCH$(1,1)$ process
dcc.results

Computing robust standard errors of the estimates in the (E)DCC-GARCH model
rob.kr

Computing standard and robustified excess kurtosis
rob.sk

Computing standard and robustified skewness
vdR

Computing partial derivatives of the CCC matrix
dcc.estimation2

Maximising the second stage log-likelihood function of the (E)DCC-GARCH model
vector.garch

A vector GARCH(1,1) conditional variances
stationarity

The stationarity condition in Extended CC-GARCH models
eccc.sim

Simulating an (E)CCC-GARCH(1,1) process
jb.test

The Lomnicki-Jarque-Bera Test of normality (JB test)
p.mat

Re-arranging a vector into parameter matrices
loglik.dcc2

The 2nd stage log-likelihood function for the (E)DCC GARCH
tr.func

Logistic transition function
analytical.grad

Analytical gradient of the log-likelihood function of the (E)CCC-GARCH(1,1) model
analytical.Hessian

Analytical Hessian of the (E)CCC-GARCH
grad.dcc.full

Numerical gradient of the full log-likelihood function of the (E)DCC-GARCH model
dlv

Gradient of the GARCH part of the log-likelihood function of the DCC GARCH model
dcc.sim

Simulating a DCC-GARCH(1,1) process
dcc.estimation

Estimating (E)DCC-GARCH model
uni.vola.sim

Simulating a series with univariate GARCH(1,1) conditional variances
eccc.estimation

Estimating an (E)CCC-GARCH model