| dcc_optim {xdcclarge} | R Documentation |
This function optimizes log-likelihood of DCC-GARCH model.
Description
This function optimizes log-likelihood of DCC-GARCH model.
Usage
dcc_optim(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
results of optimization
[Package xdcclarge version 0.1.0 Index]