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DCC(1,1) Weighted Negative Log-Likelihood

dcc11_nll.Rd

Compute weighted NLL for DCC(1,1) model.

Usage

dcc11_nll(
  params,
  std_resid,
  weights,
  Qbar,
  distribution = "mvn",
  use_reparam = TRUE
)

Arguments

params

Named vector: c(psi, phi, ggplot2::shape) or c(alpha, beta, ggplot2::shape)

std_resid

T x k matrix of standardized residuals

weights

T-vector of observation weights

Qbar

k x k unconditional covariance

distribution

"mvn" or "mvt"

use_reparam

Logical: use reparameterized space?

Value

Scalar negative log-likelihood