llk_JLL_Sigma function

Build the log-likelihood function of the P-dynamics from the JLL-based models

llk_JLL_Sigma(VecPara, res, IdxNONzero, K)

Arguments

• VecPara: vector that contains all the non-zero entries of the lower-triangular part of the Cholesky factorization
• res: residuals from the VAR of the JLL model (K x T)
• IdxNONzero: vector that contains indexes of the matrix of the non-zero entries of the Cholesky factorization
• K: dimensions of the variance-covariance matrix (scalar)

Returns

value of the log-likelihood function (scalar)