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]