logLikDccGarch {bayesDccGarch} | R Documentation |
The logarithm of likelihood function of DCC-GARCH(1,1) Model.
Description
Compute the logarithm of likelihood function of DCC-GARCH(1,1) Model if mY
is a matrix or the logarithm of likelihood function of GARCH(1,1) Model if mY
is numeric vector.
Usage
logLikDccGarch(mY, omega = rep(0.03, ncol(mY)), alpha = rep(0.03, ncol(mY)),
beta = rep(0.8, ncol(mY)), a = 0.03, b = 0.8, gamma = rep(1, ncol(mY)),
tail = 10, errorDist = 2)
Arguments
mY |
a matrix of the data ( |
omega |
a numeric vector ( |
alpha |
a numeric vector ( |
beta |
a numeric vector ( |
a |
a numeric value of the |
b |
a numeric value of the |
gamma |
a numeric vector ( |
tail |
a numeric value of |
errorDist |
a probability distribution for errors. Use |
Details
The log-likelihood of the model GARCH(1,1) is computed if mY
has just one column. The arguments a
and b
are not consider in this case.
Value
Return a list with the elements:
$H |
a matrix where the lines are the |
$value |
the value of the logarithm of likelihood function. |
Author(s)
Jose Augusto Fiorucci, Ricardo Sandes Ehlers and Francisco Louzada
References
Fioruci, J.A., Ehlers, R.S., Andrade Filho, M.G. Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions, Journal of Applied Statistics, 41(2), 320–331, 2014a. <doi:10.1080/02664763.2013.839635>
Fioruci, J.A., Ehlers, R.S., Louzada, F. BayesDccGarch - An Implementation of Multivariate GARCH DCC Models, ArXiv e-prints, 2014b. https://ui.adsabs.harvard.edu/abs/2014arXiv1412.2967F/abstract.
See Also
bayesDccGarch-package
, bayesDccGarch
Examples
data(DaxCacNik)
Dax = DaxCacNik[,1]
###### log-likelihood function of GARCH(1,1) model with SST innovations ####
logLikDccGarch(Dax, omega=0.03, alpha=0.03, beta=0.8, gamma=0.7)$value
###### log-likelihood function of DCC-GARCH(1,1) model with SST innovations ####
logLikDccGarch(DaxCacNik, beta=c(0.82,0.91,0.85), gamma=c(0.7, 1.3, 1.7), tail=10)$value