Computes the weighted copula NLL for ADCC model.
Usage
adcc_copula_nll(
params,
z_matrix,
weights,
Qbar,
Nbar = NULL,
copula_dist = "mvn"
)
Arguments
- params
Parameter vector: (alpha, gamma, beta) or with shape for MVT
- z_matrix
Matrix of copula residuals (T x k)
- weights
Observation weights
- Qbar
Unconditional covariance matrix
- Nbar
Unconditional covariance of negative shocks (computed if NULL)
- copula_dist
Copula distribution ("mvn" or "mvt")
Value
Scalar negative log-likelihood
