loglik.dcc {ccgarch} | R Documentation |
This function returns a log-likelihood of the (E)DCC-GARCH model.
loglik.dcc(param, dvar, model)
param |
a vector of all the parameters in the (E)DCC-GARCH model. |
dvar |
a matrix of the observed residuals (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 full log-likelihood of the (E)DCC-GARCH model
this function is currently not in use.
Engle, R.F. and K. Sheppard (2001), “Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH.” Stern Finance Working Paper Series {FIN}-01-027 (Revised in Dec. 2001), New York University Stern School of Business.
Engle, R.F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalised Autoregressive Conditional Heteroskedasticity Models.” Journal of Business and Economic Statistics 20, 339–350.