cdcc_gradient function

This functions calculates numerical gradient of log-likelihood of cDCC-GARCH model.

cdcc_gradient(param, ht, residuals, stdresids, uncR, d = 1e-05)

Arguments

• param: cDCC-GARCH parameters(alpha,beta)
• ht: matrix of conditional variance vectors (T by N)
• residuals: matrix of residual(de-mean) returns (T by N)
• stdresids: matrix of standrdized(De-GARCH) residual returns (T by N)
• uncR: unconditional correlation matrix of stdresids (N by N)
• d: (log-lik(x+d) - log-lik(x))/d

Returns

numerical gradient of log-likelihood of cDCC-GARCH model(vector)