cdcc_gradient {xdcclarge}

This functions calculates numerical gradient of log-likelihood of cDCC-GARCH model.

Description

This functions calculates numerical gradient of log-likelihood of cDCC-GARCH model.

Usage

cdcc_gradient(param, ht, residuals, stdresids, uncR, d = 1e-05)

Arguments

param

cDCC-GARCH parameters(alpha,beta)

ht

matrix of conditional variance vectors (T by N)

residuals

matrix of residual(de-mean) returns (T by N)

stdresids

matrix of standrdized(De-GARCH) residual returns (T by N)

uncR

unconditional correlation matrix of stdresids (N by N)

d

(log-lik(x+d) - log-lik(x))/d

Value

numerical gradient of log-likelihood of cDCC-GARCH model(vector)