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ccgarch (version 0.1.6)
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
144
Version
0.1.6
License
GPL (>= 2)
Maintainer
Tomoaki Nakatani
Last Published
August 10th, 2009
Functions in ccgarch (0.1.6)
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stcc.sim
Simulating Data from an STCC-GARCH$(1,1)$ process
uni.vola.sim
Simulating a series with univariate GARCH(1,1) conditional variances
vec.garch.derivative
Computing partial derivatives of a vector GARCH(1, 1) equation
fourth
Fourth-order moment condition for the vector GARCH equation
loglik.dcc
The log-likelihood function for the (E)DCC GARCH model
loglik.eccc
The log-likelihood function of the (E)CCC-GARCH model
dcc.results
Computing robust standard errors of the estimates in the (E)DCC-GARCH model
rob.sk
Computing standard and robustified skewness
uni.vola
Computing univariate GARCH(1,1) conditional variances
analytical.grad
Analytical gradient of the log-likelihood function of the (E)CCC-GARCH(1,1) model
dcc.estimation2
Maximising the second stage log-likelihood function of the (E)DCC-GARCH model
jb.test
The Lomnicki-Jarque-Bera Test of normality (JB test)
vdR
Computing partial derivatives of the CCC matrix
loglik.dcc2
The 2nd stage log-likelihood function for the (E)DCC GARCH
vector.garch
A vector GARCH(1,1) conditional variances
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
tr.func
Logistic transition function
dlc
Various partial derivatives of the DCC part of the log-likelihood function
eccc.estimation
Estimating an (E)CCC-GARCH model
dcc.estimation1
Maximising the first stage log-likelihood function of the (E)DCC-GARCH model
rob.kr
Computing standard and robustified excess kurtosis
d2lv
Hessian of the DCC log-likelihood function
grad.dcc2
Numerical gradient of the DCC part of the 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
dcc.est
Dynamic conditional correlations
dcc.estimation
Estimating (E)DCC-GARCH model
analytical.Hessian
Analytical Hessian of the (E)CCC-GARCH
p.mat
Re-arranging a vector into parameter matrices
stationarity
The stationarity condition in Extended CC-GARCH models
loglik.dcc1
The 1st stage log-likelihood function for the (E)DCC GARCH
dcc.sim
Simulating a DCC-GARCH(1,1) process
eccc.sim
Simulating an (E)CCC-GARCH(1,1) process