dcc_optim function

This function optimizes log-likelihood of DCC-GARCH model.

dcc_optim(param, ht, residuals, stdresids, uncR)

Arguments

• param: DCC-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)

Returns

results of optimization