ccgarch (version 0.2.2)

grad.dcc2: Numerical gradient of the DCC part of the log-likelihood function

Description

This function computes numerical gradient of the second stage log-likelihood function of the DCC-GARCH model w.r.t. its parameters.

Usage

grad.dcc2(param, dvar, d=1e-5)

Arguments

param

a vector of DCC parameters $(2 \times 1)$

dvar

a matrix of the standardised residuals $(T \times N)$

d

a step size for computing numerical gradient

Value

• a vector of partial derivatives $(2 \times 1)$

See Also

dlc, dcc.estimation