grad.dcc.full {ccgarch}R Documentation

Numerical gradient of the full log-likelihood function of the (E)DCC-GARCH model

Description

This function computes the numerical gradient of the full log-likelihood function of the (E)DCC-GARCH model with respect to its parameters.

Usage

    grad.dcc.full(a, A, B, dcc.para, dvar, d=1e-5, model)

Arguments

a a constant vector in the GARCH equation (N times 1)
A an ARCH parameter matrix in the GARCH equation (N times N)
B a GARCH parameter matrix in the GARCH equation (N times N)
dcc.para a vector of the DCC parameters (2 times 1)
dvar a matrix of the observed residuals (T times N)
d a step size for computing numerical gradient
model a character string describing the model. "diagonal" for the diagonal model and "extended" for the extended (full ARCH and GARCH parameter matrices) model

Value

a matrix of partial derivatives (T times npar)

Note

this function is currently not in use.


[Package ccgarch version 0.1.1 Index]