Description Usage Arguments Value
This function calculates log-likelihood of DCC-GARCH model.
1 | dcc_loglikelihood(param, ht, residuals, stdresids, uncR)
|
param |
DCC-GARCH parameters(alpha,beta) |
ht |
matrix of conditional variance vectors (T by N) |
residuals |
matrix of residual(de-mean) returns (T by N) |
stdresids |
matrix of standrdized(De-GARCH) residual returns (T by N) |
uncR |
unconditional correlation matrix of stdresids (N by N) |
log-likelihood of DCC-GARCH model (scaler)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.