tegarchLogl: Auxiliary functions

In betategarch: Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models

Auxiliary functions

Description

tegarchLogl, tegarchLogl2, tegarchRecursion and tegarchRecursion2 are auxiliary functions called by tegarch, and which are not intended to be used for the average user. Henceforth they are thusonly scarcely documented, but most should either be self-explanatory (for the non-average user!) or more or less documented in relation with the tegarch and tegarchSim functions.

Usage

##the '2' relates to the 2-component specification:
tegarchLogl(y, pars, lower = -Inf, upper = Inf, lambda.initial = NULL,
  logl.penalty = -1e+100, c.code = TRUE, aux = NULL)
tegarchLogl2(y, pars, lower = -Inf, upper = Inf, lambda.initial = NULL,
  logl.penalty = -1e+101, c.code = TRUE, aux = NULL)
tegarchRecursion(y, omega = 0.1, phi1 = 0.4, kappa1 = 0.2, kappastar = 0.1,
  df = 10, skew = 0.6, lambda.initial = NULL, c.code = TRUE, verbose = FALSE,
  aux = NULL)
tegarchRecursion2(y, omega = 0.1, phi1 = 0.4, phi2 = 0.2, kappa1 = 0.05,
  kappa2 = 0.1, kappastar = 0.02, df = 10, skew = 0.6, lambda.initial = NULL,
  c.code = TRUE, verbose = FALSE, aux = NULL)

Arguments

y	numeric vector, typically a financial return series
omega	numeric
phi1	numeric, must be less than 1 in absolute value
phi2	numeric, must be less than 1 in absolute value
kappa1	numeric
kappa2	numeric
kappastar	numeric
df	numeric, the value of df (degrees of freedom)
skew	numeric (positive), the value of skew (skewness parameter)
verbose	logical. If FALSE (default) then only lambda is returned. If TRUE then a matrix with y and the fitted values of, amongst other, sigma, the log-scale (lambda), the conditional standard deviation (stdev), u, epsilon and the standardised residuals (residstd) are returned
pars	numeric vector, the parameter values
lower	numeric vector, the lower bounds used during estimation
upper	numeric vector, the upper bounds used during estimation
lambda.initial	NULL (default) or initial value(s) of the recursion for lambda. If NULL, then the values are chosen automatically
logl.penalty	numeric value
c.code	logical. TRUE (default) is faster since it makes use of compiled C-code
aux	NULL (default) or a list, se tegarch code

Details

tegarchLogl and tegarchLogl2 return the value of the log-likelihood for a 1-component and 2-component model, respectively.

Value

tegarchLogl:	The log-likelihood value (i.e. a numeric) of a 1-component specification
tegarchLogl2:	The log-likelihood value (i.e. a numeric) of a 2-component specification
tegarchRecursion:	A numeric vector containing the lambda values if verbose=FALSE (default). If verbose=TRUE then a matrix then a matrix with y and the fitted values of sigma, the log-scale (lambda), the conditional standard deviation (stdev), u, epsilon and the standardised residuals (residstd) are returned
tegarchRecursion2:	A numeric vector containing the lambda values if verbose=FALSE (default). If verbose=TRUE, then a matrix then a matrix with y and the fitted values of sigma, the log-scale (lambda), the conditional standard deviation (stdev), u, epsilon and the standardised residuals (residstd) are returned

Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

References

C. Fernandez and M. Steel (1998), 'On Bayesian Modeling of Fat Tails and Skewness', Journal of the American Statistical Association 93, pp. 359-371, \Sexpr[results=rd]{tools:::Rd_expr_doi("https://doi.org/10.1080/01621459.1998.10474117")}

A. Harvey and G. Sucarrat (2014), 'EGARCH models with fat tails, skewness and leverage'. Computational Statistics and Data Analysis 76, pp. 320-338, \Sexpr[results=rd]{tools:::Rd_expr_doi("https://doi.org/10.1016/j.csda.2013.09.022")}

G. Sucarrat (2013), 'betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models'. The R Journal (Volume 5/2), pp. 137-147, ,\Sexpr[results=rd]{tools:::Rd_expr_doi("https://doi.org/10.32614/RJ-2013-034")}

See Also

tegarch, tegarchSim, fitted.tegarch

betategarch documentation built on April 3, 2025, 9:54 p.m.