loglik.eccc {ccgarch} | R Documentation |
This function computes a log-likelihood of a (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 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 (E)CCC-GARCH log-likelihood
Nakatani, T. and T. er"{a}svirta (2008), “Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model”, Econometrics Journal, forthcoming.
Nakatani, T. and T. Ter"{a}svirta (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.