Package: dccmidas 0.1.2

Vincenzo Candila

dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models

Estimates a variety of Dynamic Conditional Correlation (DCC) models. More in detail, the 'dccmidas' package allows the estimation of the corrected DCC (cDCC) of Aielli (2013) <doi:10.1080/07350015.2013.771027>, the DCC-MIDAS of Colacito et al. (2011) <doi:10.1016/j.jeconom.2011.02.013>, the Asymmetric DCC of Cappiello et al. <doi:10.1093/jjfinec/nbl005>, and the Dynamic Equicorrelation (DECO) of Engle and Kelly (2012) <doi:10.1080/07350015.2011.652048>. 'dccmidas' offers the possibility of including standard GARCH <doi:10.1016/0304-4076(86)90063-1>, GARCH-MIDAS <doi:10.1162/REST_a_00300> and Double Asymmetric GARCH-MIDAS <doi:10.1016/j.econmod.2018.07.025> models in the univariate estimation. Moreover, also the scalar and diagonal BEKK <doi:10.1017/S0266466600009063> models can be estimated. Finally, the package calculates also the var-cov matrix under two non-parametric models: the Moving Covariance and the RiskMetrics specifications.

Authors:Vincenzo Candila [aut, cre]

dccmidas_0.1.2.tar.gz
dccmidas_0.1.2.tar.gz(r-4.5-noble)dccmidas_0.1.2.tar.gz(r-4.4-noble)
dccmidas_0.1.2.tgz(r-4.4-emscripten)dccmidas_0.1.2.tgz(r-4.3-emscripten)
dccmidas.pdf |dccmidas.html
dccmidas/json (API)
NEWS

# Install 'dccmidas' in R:
install.packages('dccmidas', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:

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

1.85 score 7 stars 1 scripts 204 downloads 25 exports 47 dependencies

Last updated 9 months agofrom:a7554a7d8b. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 31 2024
R-4.5-linux-x86_64OKOct 31 2024

Exports:a_dcc_loglika_dcc_mat_esta_dccmidas_loglika_dccmidas_mat_estbekk_fitcov_evaldBEKK_loglikdBEKK_mat_estdcc_fitdcc_loglikdcc_mat_estdccmidas_loglikdccmidas_mat_estdeco_loglikdeco_mat_estDetInvmoving_covplot_dccmidasprint.dccmidasQMLE_sdriskmetrics_matsBEKK_logliksBEKK_mat_estsummary.dccmidas

Dependencies:chroncpp11curldigestDistributionUtilsFNNfracdiffGeneralizedHyperbolicgenericsjsonlitekernlabKernSmoothkslatticelubridateMASSMatrixmaxLikmclustmgcvmiscToolsmulticoolmvtnormnlmenloptrnumDerivpracmaquadprogquantmodrbibutilsRcppRcppArmadilloRcppParallelRdpackrollRsolnprugarchrumidassandwichSkewHyperbolicspdtimechangetruncnormtseriesTTRxtszoo