DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models R package dccmidas version 0.1.2 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. Software 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 Vincenzo Candila <vcandila@unisa.it> Comprehensive R Archive Network (CRAN) Vincenzo Candila [aut, cre] GPL-3 2024-02-21 application/tgz https://CRAN.R-project.org/package=dccmidas doi:10.32614/CRAN.package.dccmidas