ccgarch (version 0.2.2)

d2lv: Hessian of the DCC log-likelihood function

Description

This function returns the analytical Hessian of the volatility part of the DCC log-likelihood function.

Usage

d2lv(u, B, h, model)

Arguments

u

a matrix of the data data used for estimating the (E)DCC-GARCH(1,1) model $(T \times N)$

B

a GARCH parameter matrix $(N \times N)$

h

a matrix of the conditional variances $(T \times N)$

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 Hessian of the volatility part of the DCC log-likelihood function $(T \times N^{2})$

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 Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business and Economic Statistics 20, 339--350. Hafner, C.M. and H. Herwartz (2008), Analytical Quasi Maximum Likelihood Inference in Multivariate Volatility Models. Metrika 67, 219--239.