a_dcc_loglik {dccmidas} | R Documentation |
A-DCC log-likelihood (second step)
Description
Obtains the log-likelihood of the A-DCC model in the second step. For details, see Cappiello et al. (2006) and Engle (2002).
Usage
a_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
Cappiello L, Engle RF, Sheppard K (2006).
“Asymmetric dynamics in the correlations of global equity and bond returns.”
Journal of Financial Econometrics, 4(4), 537–572.
doi:10.1093/jjfinec/nbl005.
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.