loglik.dcc: The log-likelihood function for the (E)DCC GARCH model
Description
This function returns a log-likelihood of the (E)DCC-GARCH model.
Usage
loglik.dcc(param, dvar, model)
Arguments
param
a vector of all the parameters in the (E)DCC-GARCH model.
dvar
a matrix of the observed residuals $(T \times N)$
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 full log-likelihood of the (E)DCC-GARCH model
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 Generalised Autoregressive Conditional
Heteroskedasticity Models.Journal of Business and Economic Statistics20, 339--350.