gollh {gogarch} | R Documentation |
This function returns the negative of the log-Likelihood function for GO-GARCH models.
gollh(params, object, garchlist)
params |
Vector of initial values for theta . |
object |
An object of class Goinit or an extension thereof. |
garchlist |
List, elements are passed to garchFit . |
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.
negll |
Scalar, the negative value of the log-Likelihood function. |
Bernhard Pfaff
Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5), 549 – 564.