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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Details
| 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 |
| imports | nlshrink , Rcpp (>= 0.10.6) , stats |
| depends | R (>= 3.0.2) |
| linkingto | RcppArmadillo (>= 0.2.34) |
| suggests | rugarch (>= 1.0.0) |
| Contributors | Mitsuyoshi Imamura |
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