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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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Version

Install

install.packages('ccgarch')

Monthly Downloads

3

Version

0.2.2

License

GPL (>= 2)

Maintainer

Tomoaki Nakatani

Last Published

February 20th, 2014

Functions in ccgarch (0.2.2)

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