dccmidas
DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models
Last update: 21 February 2024
Software version identifier: 0.1.0, 0.1.2
Copyright license: GNU General Public License, version 3.0
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.
- Multivariate Simultaneous Generalized ARCH
- Stock Market Volatility and Macroeconomic Fundamentals
- Dynamic Conditional Correlation: On Properties and Estimation
- A component model for dynamic correlations
- Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
- Dynamic Equicorrelation
- Generalized autoregressive conditional heteroskedasticity
- On the asymmetric impact of macro–variables on volatility
