gollh: Log-Likelihood function of GO-GARCH models

In gogarch: Generalized Orthogonal GARCH (GO-GARCH) Models

Log-Likelihood function of GO-GARCH models

Description

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

Usage

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

gogarch documentation built on April 28, 2022, 3 p.m.