grad.dcc.full {ccgarch} | R Documentation |
This function computes numerical gradient of the full log-likelihood function of the (E)DCC-GARCH(1,1) model with respect to its parameters.
grad.dcc.full(a, A, B, dcc.para, dvar, d=1e-5, model)
a |
a constant vector in the vector GARCH equation (N times 1) |
A |
an ARCH parameter matrix in the vector GARCH equation (N times N) |
B |
a GARCH parameter matrix in the vector GARCH equation (N times N) |
dcc.para |
a vector of the DCC parameters (2 times 1) |
dvar |
a matrix of the data used for estimating the (E)DCC-GARCH model (T times N) |
d |
a step size for computing numerical gradient |
model |
a character string describing the model. "diagonal" for the diagonal model
and "extended" for the extended (full ARCH and GARCH parameter matrices) model |
a matrix of partial derivatives (T times npar)
this function is currently not in use.