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

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

## Documentation for package ‘xdcclarge’ version 0.1.0

- DESCRIPTION file

## Help Pages

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