d2lv: Hessian of the DCC log-likelihood function

Description Usage Arguments Value References

Description

This function returns the analytical Hessian of the volatility part of the DCC log-likelihood function.

Usage

1
    d2lv(u, B, h, model)

Arguments

u

a matrix of the data data used for estimating the (E)DCC-GARCH(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. "diagonal" for the diagonal model and "extended" for the extended (full ARCH and GARCH parameter matrices) model

Value

the Hessian of the volatility part of the DCC log-likelihood function (T \times N^{2})

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 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.



Search within the ccgarch package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.