This function returns the analytical Hessian of the volatility part of the DCC loglikelihood function.
1  d2lv(u, B, h, model)

u 
a matrix of the data data used for estimating the (E)DCCGARCH(1,1) model (T \times N) 
B 
a GARCH parameter matrix (N \times N) 
h 
a matrix of the conditional variances (T \times N) 
model 
a character string describing the model. 
the Hessian of the volatility part of the DCC loglikelihood function (T \times N^{2})
Engle, R.F. and K. Sheppard (2001), “Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH.” Stern Finance Working Paper Series FIN01027 (Revised in Dec. 2001), New York University Stern School of Business.
Engle, R.F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.” Journal of Business and Economic Statistics 20, 339–350.
Hafner, C.M. and H. Herwartz (2008), “Analytical Quasi Maximum Likelihood Inference in Multivariate Volatility Models.” Metrika 67, 219–239.
Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
All documentation is copyright its authors; we didn't write any of that.