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

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Documentation for package ‘xdcclarge’ version 0.1.0

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xdcclarge-package Package
cdcc_correlations This function get the correlation matrix (Rt) of estimated cDCC-GARCH model.
cdcc_estimation This function estimates the parameters(alpha,beta) and time-varying correlation matrices(Rt) of cDCC-GARCH model.
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.
cdcc_optim This function optimizes log-likelihood of cDCC-GARCH model.
dcc_correlations This function get the correlation matrix (Rt) of estimated DCC-GARCH model.
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.
dcc_loglikelihood This function calculates log-likelihood of DCC-GARCH model.
dcc_optim This function optimizes log-likelihood of DCC-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.
xdcclarge Package