a_dcc_loglik: A-DCC log-likelihood (second step)

View source: R/functions.R

a_dcc_loglikR Documentation

A-DCC log-likelihood (second step)

Description

Obtains the log-likelihood of the A-DCC model in the second step. For details, see \insertCitecappiello2006asymmetric;textualdccmidas and \insertCitedcc_engle_2002;textualdccmidas.

Usage

a_dcc_loglik(param, res, K_c = NULL)

Arguments

param

Vector of starting values.

res

Array of standardized daily returns, coming from the first step estimation.

K_c

optional Number of initial observations to exclude from the estimation

Value

The resulting vector is the log-likelihood value for each t.

References

\insertAllCited

dccmidas documentation built on May 29, 2024, 5:26 a.m.