dcc_loglik: cDCC log-likelihood (second step)
In dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models
dcc_loglik R Documentation
cDCC log-likelihood (second 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 May 29, 2024, 5:26 a.m.
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| dcc_loglik | R Documentation |
cDCC log-likelihood (second 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
\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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