The Bayesian Dynamic Conditional Correlation GARCH Model


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Documentation for package ‘bayesDccGarch’ version 2.2

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bayesDccGarch-package bayesDccGARCH: Methods and tools for Bayesian analysis of DCC-GARCH(1,1) Model.
bayesDccGarch Bayesian Estimation of the DCC-GARCH(1,1) Model.
DaxCacNik Log-returns of daily indices of stock markets in Frankfurt, Paris and Tokio
dssged Density functions of multivariate Standard Skew Norm, t-Student and GED distributions
dssnorm Density functions of multivariate Standard Skew Norm, t-Student and GED distributions
dsst Density functions of multivariate Standard Skew Norm, t-Student and GED distributions
increaseSim Bayesian Estimation of the DCC-GARCH(1,1) Model.
logLikDccGarch The logarithm of likelihood function of DCC-GARCH(1,1) Model.
plot Plotting volatilities for Bayesian DCC-GARCH model
plot.bayesDccGarch Plotting volatilities for Bayesian DCC-GARCH model
plotVol Plotting volatilities of time series
window Bayesian Estimation of the DCC-GARCH(1,1) Model.
window.bayesDccGarch Bayesian Estimation of the DCC-GARCH(1,1) Model.