a_dccmidas_loglik: A-DCC-MIDAS log-likelihood (second step)
In dccmidas: DCC Models with GARCH-MIDAS Specifications in the Univariate Step
Description
Usage
Arguments
Value
References
Description
Obtains the log-likelihood of the A-DCC-MIDAS model in the second step.
For details, see \insertCitecappiello2006asymmetric;textualdccmidas and \insertCitedcc_engle_2002;textualdccmidas.
Usage
1
a_dccmidas_loglik(param, res, lag_fun = "Beta", N_c, K_c)
Arguments
param
Vector of starting values.
res
Array of standardized daily returns, coming from the first step estimation.
Value
The resulting vector is the log-likelihood value for each t.
References
\insertAllCited
dccmidas documentation built on March 15, 2021, 5:08 p.m.
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Description Usage Arguments Value References
Description
Obtains the log-likelihood of the A-DCC-MIDAS model in the second step. For details, see \insertCitecappiello2006asymmetric;textualdccmidas and \insertCitedcc_engle_2002;textualdccmidas.
Usage
1 | a_dccmidas_loglik(param, res, lag_fun = "Beta", N_c, K_c)
|
Arguments
param |
Vector of starting values. |
res |
Array of standardized daily returns, coming from the first step estimation. |
Value
The resulting vector is the log-likelihood value for each t.
References
\insertAllCitedR Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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