Log-Likelihood function of GO-GARCH models

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Description

This function returns the negative of the log-Likelihood function for GO-GARCH models.

Usage

1
gollh(params, object, garchlist)

Arguments

params

Vector of initial values for theta.

object

An object of class Goinit or an extension thereof.

garchlist

List, elements are passed to garchFit.

Details

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.

Value

negll

Scalar, the negative value of the log-Likelihood function.

Author(s)

Bernhard Pfaff

References

Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5), 549 – 564.

See Also

garchFit

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