dcc_loglik {dccmidas} | R Documentation |
cDCC log-likelihood (second step)
Description
Obtains the log-likelihood of the cDCC model in the second step. For details, see Aielli (2013) and Engle (2002).
Usage
dcc_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
Aielli GP (2013).
“Dynamic conditional correlation: on properties and estimation.”
Journal of Business & Economic Statistics, 31(3), 282–299.
doi:10.1080/07350015.2013.771027.
Engle R (2002).
“Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models.”
Journal of Business & Economic Statistics, 20(3), 339–350.
doi:10.1198/073500102288618487.