loglik.eccc: The log-likelihood function of the (E)CCC-GARCH model
Description
This function computes a log-likelihood of the (E)CCC-GARCH(1,1) model.
Usage
loglik.eccc(param, dvar, model)
Arguments
param
a vector of all the parameters in the (E)CCC-GARCH model
dvar
a matrix of the data used for estimating the (E)DCC-GARCH model $(T \times N)$
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 (E)CCC-GARCH log-likelihood
References
Nakatani, T. and T. Ter"asvirta (2009),
Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model,
Econometrics Journal, 12, 147--163.
Nakatani, T. and T. Ter"asvirta (2008),
Appendix to Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model
Department of Economic Statistics, Stockholm School of Economics,
available at http://swopec.hhs.se/hastef/abs/hastef0649.htm.