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ccgarch (version 0.2.1)

Conditional Correlation GARCH models

Description

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

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Version

Install

install.packages('ccgarch')

Monthly Downloads

3

Version

0.2.1

License

GPL (>= 2)

Maintainer

Tomoaki Nakatani

Last Published

August 18th, 2013

Functions in ccgarch (0.2.1)

hh.test

Carrying out the test of Hafner and Herwartz
jb.test

The Lomnicki-Jarque-Bera Test of normality (JB test)
dcc.estimation

Estimating an (E)DCC-GARCH model
eccc.sim

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

Carrying out the test of Nakatani and Ter"asvirta
fourth

Fourth-order moment condition for the vector GARCH equation
stationarity

The stationarity condition in Extended CC-GARCH models
rob.kr

Computing standard and robustified excess kurtosis
dcc.sim

Simulating an (E)DCC-GARCH(1,1) process
ljung.box.test

The Ljung-Box Test statistic
rob.sk

Computing standard and robustified skewness
eccc.estimation

Estimating an (E)CCC-GARCH model
stcc.sim

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