The 1st stage log-likelihood function for the (E)DCC GARCH
This function returns a log-likelihood of the (E)DCC-GARCH model in the first stage estimation.
loglik.dcc1(param, dvar, model)
initial values for a vector of the parameters (npar \times 1)
a matrix of the data (T \times N)
a character string describing the model.
the negative of the first stage log-likelihood
The function is used in
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.
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