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.