lgarchObjective: Auxiliary functions
In lgarch: Simulation and Estimation of Log-GARCH Models

Description Usage Arguments Details Value Author(s) References See Also

lgarchObjective and lgarchRecursion1 are auxiliary functions called by lgarch. The functions are not intended for the average user.

1 2	lgarchObjective(pars, aux) lgarchRecursion1(pars, aux)

`pars`	numeric vector with the parameters of the ARMA representation
`aux`	auxiliary list

To understand the structure and content of pars and aux, see the source code of the lgarch function

lgarchObjective returns the value of the objective function (either the log-likelihood or the residual sum of squares) used in estimating the ARMA representation. lgarchRecursion1 returns the residuals of the ARMA representation associated with the ARMA parameters pars

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

Francq, C. and G. Sucarrat (2013), 'An Exponential Chi-Squared QMLE for Log-GARCH Models via the ARMA Representation', MPRA Paper 51783: http://mpra.ub.uni-muenchen.de/51783/

Sucarrat, Gronneberg and Escribano (2013), 'Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown', MPRA Paper 49344: http://mpra.ub.uni-muenchen.de/49344/

lgarch

lgarch documentation built on May 1, 2019, 6:33 p.m.