loglik_eccc: The log-likelihood function of the (E)CCC-GARCH model

In hoanguc3m/ccgarch: Conditional Correlation GARCH models

Description

This function computes a log-likelihood of the (E)CCC-GARCH(1,1) model.

Usage

   loglik.eccc(param, dvar, model)

Arguments

param	a vector of all the parameters in the (E)CCC-GARCH model
dvar	a matrix of the data used for estimating the (E)DCC-GARCH model (T \times N)
model	a character string describing the model. "diagonal" for the diagonal model and "extended" for the extended (full ARCH and GARCH parameter matrices) model

Value

the negative of the (E)CCC-GARCH log-likelihood

References

Nakatani, T. and T. Ter\"asvirta (2009), “Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model”, Econometrics Journal, 12, 147–163.

Nakatani, T. and T. Ter\"asvirta (2008), “Appendix to Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model” Department of Economic Statistics, Stockholm School of Economics, available at http://swopec.hhs.se/hastef/abs/hastef0649.htm.

hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.