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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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0.2.3
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Install
install.packages('ccgarch')
Monthly Downloads
144
Version
0.2.1
License
GPL (>= 2)
Maintainer
Tomoaki Nakatani
Last Published
August 18th, 2013
Functions in ccgarch (0.2.1)
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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