loglik.dcc2: The 2nd stage log-likelihood function for the (E)DCC GARCH
Description
This function returns a log-likelihood of the (E)DCC-GARCH model in the 2nd step estimation.
Usage
loglik.dcc2(param, dvar)
Arguments
param
initial values for the DCC parameters $(2 \times 1)$
dvar
a matrix of the standardised residuals $(T \times N)$
Value
the negative of the second stage log-likelihood
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 GeneralizSed Autoregressive Conditional
Heteroskedasticity Models.Journal of Business and Economic Statistics20, 339--350.