dcc_loglik: cDCC log-likelihood (second step)

In dccmidas: DCC Models with GARCH-MIDAS Specifications in the Univariate Step

Description

Obtains the log-likelihood of the cDCC model in the second step. For details, see \insertCiteaielli2013dynamic;textualdccmidas and \insertCitedcc_engle_2002;textualdccmidas.

Usage

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 March 15, 2021, 5:08 p.m.