grad.dcc2 {ccgarch} | R Documentation |
This function computes numerical gradient of the second stage log-likelihood function of the DCC-GARCH model w.r.t. its parameters.
grad.dcc2(param, dvar, d=1e-5)
param |
a vector of DCC parameters (2 times 1) |
dvar |
a matrix of standardised residuals (T times N) |
d |
a step size for computing numerical gradient |
a vector of partial derivatives (2 times 1)
The function is used only from dcc.estimation2
when the switch variable
"gradient!=0". dlc$dlc
in dlc
contains the analytical gradient of
the second stage log-likelihood function.