dcc_loglikelihood {xdcclarge}

This function calculates log-likelihood of DCC-GARCH model.

Description

This function calculates log-likelihood of DCC-GARCH model.

Usage

dcc_loglikelihood(param, ht, residuals, stdresids, uncR)

Arguments

param

DCC-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)

Value

log-likelihood of DCC-GARCH model (scaler)