# All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

## Documentation for package ‘MTS’ version 1.2.1

- DESCRIPTION file
- Package NEWS
- Package README

## Help Pages

A B C D E F G H I K L M P Q R S T V

MTS-package | Multivariate Time Series

## -- A --

apca | Asymptotic Principal Component Analysis
archTest | ARCH test for univariate time series

## -- B --

backtest | Backtesting of a scalar ARIMA model
BEKK11 | BEKK Model
Btfm2 | Back-Test of a Transfer Function Model with Two Input Variables
BVAR | Bayesian Vector Autoregression

## -- C --

ccm | Cross-Correlation Matrices
comVol | Common Volatility
Corner | Compute the Corner table for transfer function model specification

## -- D --

dccFit | Dynamic Cross-Correlation Model Fitting
dccPre | Preliminary Fitting of DCC Models
diffM | Difference of multivariate time series

## -- E --

Eccm | Extended Cross-Correlation Matrices
ECMvar | Error-Correction VAR Models
ECMvar1 | Error-Correction VAR Model 1
EWMAvol | Exponentially Weighted Moving-Average Volatility

## -- F --

FEVdec | Forecast Error Variance Decomposition

## -- G --

GrangerTest | Granger Causality Test

## -- H --

hfactor | Constrained Factor Model

## -- I --

ibmspko | Monthly simple returns of the stocks of International Business Machines (IBM) and Coca Cola (KO) and the S&P Composite index (SP)

## -- K --

Kronfit | Fitting a VARMA Model via Kronecker Index
Kronid | Kronecker Index Identification
Kronpred | Prediction of a fitted VARMA model via Kronfit, using Kronecker indices
Kronspec | Kronecler Index Specification

## -- L --

Lminv | MTS Internal Functions

## -- M --

MarchTest | Multivariate ARCH test
MCHdiag | Multivariate Conditional Heteroscedastic Model Checking
MCholV | Multivariate Cholesky Volatility Model
mFilter | MTS Internal Functions
Mlm | Multivariate Linear Model
mq | Multivariate Ljung-Box Q Statistics
msqrt | Square Root Matrix
mtCopula | Multivariate t-Copula Volatility Model
MTS | Multivariate Time Series
MTSdiag | Multivariate Time Series Diagnostic Checking
MTSplot | Multivariate Time Series Plot
Mtxprod | Polynomial Matrix Product
Mtxprod1 | Alternative Polynomial Matrix Product

## -- P --

PIwgt | Pi Weight Matrices
PSIwgt | Psi Wights Matrices

## -- Q --

qgdp | Quarterly real gross domestic products of United Kingdom, Canada, and the United States

## -- R --

refECMvar | Refining Error-Correction Model for VAR series
refECMvar1 | Refining ECM for a VAR process
refKronfit | Refining VARMA Estimation via Kronecker Index Approach
refREGts | Refining a Regression Model with Time Series Errors
refSCMfit | Refining Estimation of VARMA Model via SCM Approach
refsVARMA | Refining a Seasonal VARMA Model
refVAR | Refining a VAR Model
refVARMA | Refining VARMA Estimation
refVARs | MTS Internal Functions
refVARX | Refining a VARX Model
refVMA | Refining VMA Models
refVMAe | Refining VMA Estimation via the Exact Likelihood Method
refVMAs | MTS Internal Functions
REGts | Regression Model with Time Series Errors
REGtspred | Prediction of a fitted regression model with time series errors
revmq | MTS Internal Functions
RLS | Recursive Least Squares

## -- S --

SCCor | Sample Constrained Correlations
SCMfit | Scalar Component Model Fitting
SCMid | Scalar Component Identification
SCMid2 | Scalar Component Model Specification II
SCMmod | Scalar Component Model specification
sVARMA | Seasonal VARMA Model Estimation
sVARMACpp | Seasonal VARMA Model Estimation (Cpp)
sVARMApred | Prediction of a fitted multiplicative seasonal VARMA model
SWfore | Stock-Watson Diffusion Index Forecasts

## -- T --

tenstocks | Monthly simple returns of ten U.S. stocks
tfm | Transfer Function Model
tfm1 | Transfer Function Model with One Input
tfm2 | Transfer Function Model with Two Input Variables

## -- V --

VAR | Vector Autoregressive Model
VARchi | MTS Internal Functions
VARecm | MTS Internal Functions
VARfore | MTS Internal Functions
VARirf | MTS Internal Functions
VARMA | Vector Autoregressive Moving-Average Models
VARMAcov | Autocovariance Matrices of a VARMA Model
VARMACpp | Vector Autoregressive Moving-Average Models (Cpp)
VARMAirf | Impulse Response Functions of a VARMA Model
VARMApred | VARMA Prediction
VARMAsim | Generating a VARMA Process
VARorder | VAR Order Specification
VARorderI | VAR order specification I
VARpred | VAR Prediction
VARpsi | VAR Psi-weights
VARs | VAR Model with Selected Lags
VARX | VAR Model with Exogenous Variables
VARXirf | Impluse response function of a fitted VARX model
VARXorder | VARX Order Specification
VARXpred | VARX Model Prediction
Vech | Half-Stacking Vector of a Symmetric Matrix
VechM | Matrix constructed from output of the Vech Command. In other words, restore the original symmetric matrix from its half-stacking vector.
VMA | Vector Moving Average Model
VMACpp | Vector Moving Average Model (Cpp)
VMAe | VMA Estimation with Exact likelihood
VMAorder | VMA Order Specification
VMApred | MTS Internal Functions
VMAs | VMA Model with Selected Lags
Vmiss | VARMA Model with Missing Value
Vpmiss | Partial Missing Value of a VARMA Series