cgarchfit (rmgarch package): cannot reconcile likelihood of a Copula-GARCH model
I cannot reconcile the log-likelihood of a Copula-GARCH model.
Below is a simple example where the marginal volatilities are constant (for
which I use iGARCH with beta1 = 1) and have Normal distribution; and the
copula is constant and Gaussian. In short, the model is that of
returns having multivariate Normal distribution with constant parameters.
I compare the likelihood from cgarchfit (= 5890.564) with the likelihood
using the multinormal density, with both mean and covariance taken from
cgarchfit (= 5896.262). They should be the same.
Any help understanding why I cannot reconcile this will be much