Package: xdcclarge 0.1.0

xdcclarge: 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>).

Authors:Kei Nakagawa [aut, cre], Mitsuyoshi Imamura [aut]

# Install 'xdcclarge' in R:

install.packages('xdcclarge', repos = c('https://keeeeei0315.r-universe.dev', 'https://cloud.r-project.org'))

Uses libs:

Datasets:

us_stocks - The closing price data of us stocks in SP500 index from 2006-03-31 to 2014-03-31 from yahoo finance.

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

Last updated 6 years agofrom:a3467536f0. Checks:OK: 9. Indexed: yes.

Help page	Topics
This function get the correlation matrix (Rt) of estimated cDCC-GARCH model.	cdcc_correlations
This function estimates the parameters(alpha,beta) and time-varying correlation matrices(Rt) of cDCC-GARCH model.	cdcc_estimation
This functions calculates numerical gradient of log-likelihood of cDCC-GARCH model.	cdcc_gradient
This function calculates log-likelihood of cDCC-GARCH model.	cdcc_loglikelihood
This function optimizes log-likelihood of cDCC-GARCH model.	cdcc_optim
This function get the correlation matrix (Rt) of estimated DCC-GARCH model.	dcc_correlations
This function estimates the parameters(alpha,beta) and time-varying correlation matrices(Rt) of DCC-GARCH model.	dcc_estimation
This functions calculates numerical gradient of log-likelihood of DCC-GARCH model.	dcc_gradient
This function calculates log-likelihood of DCC-GARCH model.	dcc_loglikelihood
This function optimizes log-likelihood of DCC-GARCH model.	dcc_optim
the closing price data of us stocks in SP500 index from 2006-03-31 to 2014-03-31 from yahoo finance.	us_stocks
Package	xdcclarge-package xdcclarge