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ccgarch (version 0.2.2)
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
0.2.2
License
GPL (>= 2)
Maintainer
Tomoaki Nakatani
Last Published
February 20th, 2014
Functions in ccgarch (0.2.2)
Search functions
hh.test
Carrying out the test of Hafner and Herwartz
rob.kr
Computing standard and robustified excess kurtosis
stationarity
The stationarity condition in Extended CC-GARCH models
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
uni.vola.sim
Simulating a series with univariate GARCH(1,1) conditional variances
tr.func
Logistic transition function
dcc.estimation
Estimating an (E)DCC-GARCH model
dcc.estimation2
Maximising the second stage log-likelihood function of the (E)DCC-GARCH model
dlv.est
Gradient of the GARCH part of the log-likelihood function of an (E)DCC GARCH model
vdR
Computing partial derivatives of the CCC matrix
eccc.estimation
Estimating an (E)CCC-GARCH model
eccc.sim
Simulating an (E)CCC-GARCH(1,1) process
ljung.box.test
The Ljung-Box Test statistic
dcc.est
Dynamic conditional correlations
uni.vola
Computing univariate GARCH(1,1) conditional variances
stcc.sim
Simulating Data from an STCC-GARCH$(1,1)$ process
jb.test
The Lomnicki-Jarque-Bera Test of normality (JB test)
analytical.grad
Analytical gradient of the log-likelihood function of the (E)CCC-GARCH(1,1) model
dlv
Gradient of the GARCH part of the log-likelihood function of an (E)DCC-GARCH model
analytical.Hessian
Analytical Hessian of the (E)CCC-GARCH
nt.test
Carrying out the test of Nakatani and Ter"asvirta
dcc.sim
Simulating an (E)DCC-GARCH(1,1) process
dlc
Various partial derivatives of the DCC part of the log-likelihood function
rob.sk
Computing standard and robustified skewness
p.mat
Re-arranging a vector into parameter matrices
loglik.dcc1
The 1st stage log-likelihood function for the (E)DCC GARCH
d2lv
Hessian of the DCC log-likelihood function
grad.dcc2
Numerical gradient of the DCC part of the log-likelihood function
loglik.dcc
The log-likelihood function for the (E)DCC GARCH model
loglik.dcc2
The 2nd stage log-likelihood function for the (E)DCC GARCH
grad.dcc.full
Numerical gradient of the full log-likelihood function of 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
vec.garch.derivative
Computing partial derivatives of a vector GARCH(1, 1) equation
vector.garch
A vector GARCH(1,1) conditional variances