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 |