loglik.dcc {ccgarch}R Documentation

The log-likelihood function for the (E)DCC GARCH model

Description

This function returns a log-likelihood of the (E)DCC-GARCH model.

Usage

   loglik.dcc(param, dvar, model)

Arguments

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

Value

the negative of the full log-likelihood of the (E)DCC-GARCH model

Note

this function is currently not in use.

References

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.


[Package ccgarch version 0.1.1 Index]