deco_loglik {dccmidas} | R Documentation |
DECO log-likelihood (second step)
Description
Obtains the log-likelihood of the DECO models in the second step. For details, see Engle and Kelly (2012).
Usage
deco_loglik(param, res, K_c = NULL)
Arguments
param |
Vector of starting values. |
res |
Array of standardized daily returns, coming from the first step estimation. |
K_c |
optional Number of initial observations to exclude from the estimation |
Value
The resulting vector is the log-likelihood value for each t
.
References
Engle R, Kelly B (2012). “Dynamic equicorrelation.” Journal of Business & Economic Statistics, 30(2), 212–228. doi:10.1080/07350015.2011.652048.
[Package dccmidas version 0.1.2 Index]