Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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)
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"
lik n x 1 vector of log-likelihood estimates

Author: H. Herwartz, 20020111
(C) MD*TECH Method and Data Technologies, 05.02.2006