The 2nd stage log-likelihood function for the (E)DCC GARCH

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Description

This function returns a log-likelihood of the (E)DCC-GARCH model in the 2nd step estimation.

Usage

1
   loglik.dcc2(param, dvar)

Arguments

param

initial values for the DCC parameters (2 \times 1)

dvar

a matrix of the standardised residuals (T \times N)

Value

the negative of the second stage log-likelihood

Note

The function is used in constrOptim in dcc.estimation2.

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 GeneralizSed Autoregressive Conditional Heteroskedasticity Models.” Journal of Business and Economic Statistics 20, 339–350.

See Also

dcc.estimation, dcc.estimation2

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