loglik_dcc2: The 2nd stage log-likelihood function for the (E)DCC GARCH
In hoanguc3m/ccgarch: Conditional Correlation GARCH models
Description
Usage
Arguments
Value
Note
References
See Also
Description
This function returns a log-likelihood of the (E)DCC-GARCH model in the 2nd step estimation.
Usage
1
loglik.dcc2(param, dvar)
Arguments
param
initial values for the DCC parameters (2 \times 1)
dvar
a matrix of the standardised residuals (T \times N)
Value
the negative of the second stage log-likelihood
Note
The function is used in constrOptim in dcc.estimation2.
References
Engle, R.F. and K. Sheppard (2001),
“Theoretical and Empirical Properties of Dynamic
Conditional Correlation Multivariate GARCH.”
Stern Finance Working Paper Series
FIN-01-027 (Revised in Dec. 2001),
New York University Stern School of Business.
Engle, R.F. (2002),
“Dynamic Conditional Correlation: A Simple Class of
Multivariate GeneralizSed Autoregressive Conditional
Heteroskedasticity Models.”
Journal of Business and Economic Statistics
20, 339–350.
See Also
dcc.estimation,
dcc.estimation2
hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.
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Description Usage Arguments Value Note References See Also
Description
This function returns a log-likelihood of the (E)DCC-GARCH model in the 2nd step estimation.
Usage
1 | loglik.dcc2(param, dvar)
|
Arguments
param |
initial values for the DCC parameters (2 \times 1) |
dvar |
a matrix of the standardised residuals (T \times N) |
Value
the negative of the second stage log-likelihood
Note
The function is used in constrOptim in dcc.estimation2.
References
Engle, R.F. and K. Sheppard (2001), “Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH.” Stern Finance Working Paper Series FIN-01-027 (Revised in Dec. 2001), New York University Stern School of Business.
Engle, R.F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate GeneralizSed Autoregressive Conditional Heteroskedasticity Models.” Journal of Business and Economic Statistics 20, 339–350.
See Also
dcc.estimation,
dcc.estimation2
R 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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