gollh {gogarch}R Documentation

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_{theta, α, β} = - frac{1}{2} sum_{t=1}^T m log(2π) + log|Z_theta Z_theta '| + log|H_t| + y' H_t^{-1}y_t

whereby Z = P Delta^{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


[Package gogarch version 0.6-8 Index]