deco_loglik: DECO 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

DECO log-likelihood (second step)

Description

Obtains the log-likelihood of the DECO models in the second step. For details, see \insertCiteengle2012dynamic;textualdccmidas.

Usage

deco_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.