logLik: Extract Log-Likelihood

In LFUrmutils: LFU Risk Management Utilities

Description

These functions are based on the generic logLik method for objects of classes UnivVola, MultiEWMA, and fGARCH.

Usage

## S3 method for class 'UnivVola'
logLik(object, ...)
## S3 method for class 'MultiEWMA'
logLik(object, ...)
## S3 method for class 'fGARCH'
logLik(object, ...)

Arguments

object	An object of class UnivVola, MultiEWMA or fGARCH.
...	Arguments passed to methods (unused at the moment).

Value

Returns an object of class logLik.

Author(s)

Bernhard Eder

References

Jorion (2007). Value at Risk, 3rd. McGraw-Hill. New York.

See Also

UnivVola, MultiEWMA, garchFit

Examples

# Load returns
data("CRSPday_zoo")
y <- CRSPday_zoo

# Compute univariate volatility model
RM <- UnivVola(y[, 1], type = "RiskMetrics", lambda = -1, center = TRUE)

# Extract log likelihood
logLik(RM)

# Compute AIC
AIC(RM)

LFUrmutils documentation built on Jan. 3, 2020, 3 a.m.