loglik.dcc2 {ccgarch} | R Documentation |
This function returns a log-likelihood of the (E)DCC-GARCH in the 2nd step estimation.
loglik.dcc2(param, dvar)
param |
a vector of the DCC parameters (2 times 1) |
dvar |
a matrix of the standardised residuals (T times N) |
the negative of the second stage log-likelihood
The function is used in constrOptim
in dcc.estimation2
.
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 GeneralizSed Autoregressive Conditional Heteroskedasticity Models.” Journal of Business and Economic Statistics 20, 339-350.
dcc.estimation
,
dcc.estimation2