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


Reference manual: dccmidas.pdf


Package source: dccmidas_0.1.2.tar.gz
Windows binaries: r-devel: dccmidas_0.1.2.zip, r-release: dccmidas_0.1.2.zip, r-oldrel: dccmidas_0.1.2.zip
macOS binaries: r-release (arm64): dccmidas_0.1.2.tgz, r-oldrel (arm64): dccmidas_0.1.2.tgz, r-release (x86_64): dccmidas_0.1.2.tgz, r-oldrel (x86_64): dccmidas_0.1.2.tgz
Old sources: dccmidas archive


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