xdcclarge v0.1.0

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Estimating a (c)DCC-GARCH Model in Large Dimensions

Functions for Estimating a (c)DCC-GARCH Model in large dimensions based on a publication by Engle et,al (2017) <doi:10.1080/07350015.2017.1345683> and Nakagawa et,al (2018) <doi:10.3390/ijfs6020052>. This estimation method is consist of composite likelihood method by Pakel et al. (2014) <http://paneldataconference2015.ceu.hu/Program/Cavit-Pakel.pdf> and (Non-)linear shrinkage estimation of covariance matrices by Ledoit and Wolf (2004,2015,2016). (<doi:10.1016/S0047-259X(03)00096-4>, <doi:10.1214/12-AOS989>, <doi:10.1016/j.jmva.2015.04.006>).

Functions in xdcclarge

Name Description
dcc_estimation This function estimates the parameters(alpha,beta) and time-varying correlation matrices(Rt) of DCC-GARCH model.
dcc_gradient This functions calculates numerical gradient of log-likelihood of DCC-GARCH model.
cdcc_correlations This function get the correlation matrix (Rt) of estimated cDCC-GARCH model.
cdcc_optim This function optimizes log-likelihood of cDCC-GARCH model.
us_stocks the closing price data of us stocks in SP500 index from 2006-03-31 to 2014-03-31 from yahoo finance.
dcc_correlations This function get the correlation matrix (Rt) of estimated DCC-GARCH model.
cdcc_estimation This function estimates the parameters(alpha,beta) and time-varying correlation matrices(Rt) of cDCC-GARCH model.
dcc_loglikelihood This function calculates log-likelihood of DCC-GARCH model.
xdcclarge Package
cdcc_gradient This functions calculates numerical gradient of log-likelihood of cDCC-GARCH model.
cdcc_loglikelihood This function calculates log-likelihood of cDCC-GARCH model.
dcc_optim This function optimizes log-likelihood of DCC-GARCH model.
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Type Package
License GPL (>= 2)
LazyData TRUE
LinkingTo Rcpp(>= 0.10.6),RcppArmadillo(>= 0.2.34)
RoxygenNote 6.0.1
NeedsCompilation yes
Packaged 2018-07-12 12:07:16 UTC; kei
Repository CRAN
Date/Publication 2018-07-12 18:50:03 UTC

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