a_dccmidas_loglik {dccmidas}R Documentation

A-DCC-MIDAS log-likelihood (second step)

Description

Obtains the log-likelihood of the A-DCC-MIDAS model in the second step. For details, see Cappiello et al. (2006) and Engle (2002).

Usage

a_dccmidas_loglik(param, res, lag_fun = "Beta", N_c, K_c)

Arguments

param

Vector of starting values.

res

Array of standardized daily returns, coming from the first step estimation.

Value

The resulting vector is the log-likelihood value for each t.

References

Cappiello L, Engle RF, Sheppard K (2006). “Asymmetric dynamics in the correlations of global equity and bond returns.” Journal of Financial Econometrics, 4(4), 537–572. doi:10.1093/jjfinec/nbl005.

Engle R (2002). “Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models.” Journal of Business & Economic Statistics, 20(3), 339–350. doi:10.1198/073500102288618487.


[Package dccmidas version 0.1.2 Index]