dccmidas_loglik: DCC-MIDAS 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-MIDAS log-likelihood (second step)

Description

Obtains the log-likelihood of the DCC models in the second step. For details, see \insertCitecolacito2011component;textualdccmidas and \insertCitedcc_engle_2002;textualdccmidas.

Usage

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.
lag_fun	optional. Lag function to use. Valid choices are "Beta" (by default) and "Almon", for the Beta and Exponential Almon lag functions, respectively.
N_c	Number of (lagged) realizations to use for the standarized residuals forming the long-run correlation.
K_c	Number of (lagged) realizations to use for the long-run correlation.

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.