logLik.SVDNF {SVDNF}

Extract Log-Likelihood for SVDNF and DNFOptim Objects

Description

Returns the log-likelihood value of the stochastic volatility model represented by object evaluated at the parameters given in the DNF function.

Usage

## S3 method for class 'SVDNF'
logLik(object, ...)

Arguments

object

an object of class SVDNF or DNFOptim.

...

further arguments passed to or from other methods.

Value

The log-likelihood of the stochastic volatility model given by object evaluated at the parameters given to the DNF function. For DNFOptim objects, this returns the log-likelihood at the MLE parameter values and the number of free parameters in the model.

Note

It will always be the case df = NULL for SVDNF objects as they are evaluations of the DNF algorithm for a fixed set of parameters. However, for DNFOptim objects, df will be the number of free parameters in the optimization.

Examples

set.seed(1)
# Generate 200 returns from the DuffiePanSingleton model
DuffiePanSingleton_mod <- dynamicsSVM(model = "DuffiePanSingleton") 
DuffiePanSingleton_sim <- modelSim(t = 200, dynamics = DuffiePanSingleton_mod) 

# Run DNF on the data
dnf_filter <- DNF(data = DuffiePanSingleton_sim$returns,
  dynamics = DuffiePanSingleton_mod) 

# Print log-likelihood evaluation.
logLik(dnf_filter)