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- Thu Aug 20, 2009 3:31 pm
- Forum: Estimation
- Topic: Dynamic conditional correlation multivariate GARCH
- Replies: 81
- Views: 192896
Re: Dynamic conditional correlation multivariate GARCH
Hi, Thanks for sharing the code. However, I have some doubts regarding the logl function. In the code provided by Hvtcapollo, I find that the logl function lacks three terms appearing in the literatures, including the log(DetrDt) calculated before in the code. The other two are hard to write down be...