| Library: | times |
| See also: | bigarch |
| Quantlet: | bglik | |
| Description: | computes the Gaussian log-likelihood of the BEKK model for each observation |
| Usage: | lik=bglik(r,vek,os,hndl) | |
| Input: | ||
| r | T x 2 matrix of bivariate time series | |
| vek | n x p matrix containing parameters of the BEKK volatility model in stacked form | |
| os | string determining which operating system is used | |
| hndl | handle to DLL containing the function "lik" | |
| Output: | ||
| lik | n x 1 vector of log-likelihood estimates | |