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.
| Version: |
0.1.2 |
| Depends: |
R (≥ 4.0.0) |
| Imports: |
maxLik (≥ 1.3-8), rumidas (≥ 0.1.1), rugarch (≥ 1.4-4), roll (≥ 1.1.4), xts (≥ 0.12.0), Rdpack (≥ 1.0.0), zoo (≥
1.8.8), stats (≥ 4.0.2), utils (≥ 4.0.2) |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
knitr, rmarkdown |
| Published: |
2024-02-21 |
| DOI: |
10.32614/CRAN.package.dccmidas |
| Author: |
Vincenzo Candila [aut, cre] |
| Maintainer: |
Vincenzo Candila <vcandila at unisa.it> |
| License: |
GPL-3 |
| NeedsCompilation: |
yes |
| Citation: |
dccmidas citation info |
| Materials: |
NEWS |
| CRAN checks: |
dccmidas results |
Documentation:
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