gollh | R Documentation |
This function returns the negative of the log-Likelihood function for GO-GARCH models.
gollh(params, object, garchlist)
params |
Vector of initial values for |
object |
An object of class |
garchlist |
List, elements are passed to |
The log-Likelihood function of GO-GARCH models is given as:
L_{θ, α, β} = - \frac{1}{2} ∑_{t=1}^T m \log(2π) + \log|Z_θ Z_θ '| + \log|H_t| + y' H_t^{-1}y_t
whereby Z = P Δ^{\frac{1}{2}} U_0, y_t = Z^{-1}x_t and H_t is the conditional variance matrix of the independent components.
negll |
Scalar, the negative value of the log-Likelihood function. |
Bernhard Pfaff
Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5), 549 – 564.
garchFit
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