loglik.eccc {ccgarch} | R Documentation |
This function computes a log-likelihood of the (E)CCC-GARCH(1,1) model.
loglik.eccc(param, dvar, model)
param |
a vector of all the parameters in the (E)CCC-GARCH model |
dvar |
a matrix of the data used for estimating the (E)DCC-GARCH model (T times N) |
model |
a character string describing the model. "diagonal" for the diagonal model
and "extended" for the extended (full ARCH and GARCH parameter matrices) model |
the negative of the (E)CCC-GARCH log-likelihood
Nakatani, T. and T. Ter"asvirta (2009), “Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model”, Econometrics Journal, 12, 147–163.
Nakatani, T. and T. Ter"asvirta (2008), “Appendix to Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model” Department of Economic Statistics, Stockholm School of Economics, available at http://swopec.hhs.se/hastef/abs/hastef0649.htm.