This function returns a log-likelihood of the (E)DCC-GARCH model in the 2nd step estimation.
initial values for the DCC parameters (2 \times 1)
a matrix of the standardised residuals (T \times N)
the negative of the second 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 GeneralizSed Autoregressive Conditional Heteroskedasticity Models.” Journal of Business and Economic Statistics 20, 339–350.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.