sBEKK_loglik: sBEKK log-likelihood
In dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models
sBEKK_loglik R Documentation
sBEKK log-likelihood
Description
Obtains the log-likelihood of the scalar BEKK model.
Usage
sBEKK_loglik(param, ret)
Arguments
param
Vector of starting values.
ret
Txk matrix of daily returns. At the moment, k can be at most 5
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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| sBEKK_loglik | R Documentation |
sBEKK log-likelihood
Description
Obtains the log-likelihood of the scalar BEKK model.
Usage
sBEKK_loglik(param, ret)
Arguments
param |
Vector of starting values. |
ret |
Txk matrix of daily returns. At the moment, k can be at most 5 |
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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