R: Auxiliary functions

tegarchLogl {betategarch}

R Documentation

Auxiliary functions

Description

tegarchLogl, tegarchLogl2, tegarchRecursion and tegarchRecursion2 are auxiliary functions called by tegarch, and which are not intended to be used for the average user. Henceforth they are thusonly scarcely documented, but most should either be self-explanatory (for the non-average user!) or more or less documented in relation with the tegarch and tegarchSim functions.

Usage

##the '2' relates to the 2-component specification:
tegarchLogl(y, pars, lower = -Inf, upper = Inf, lambda.initial = NULL,
  logl.penalty = -1e+100, c.code = TRUE, aux = NULL)
tegarchLogl2(y, pars, lower = -Inf, upper = Inf, lambda.initial = NULL,
  logl.penalty = -1e+101, c.code = TRUE, aux = NULL)
tegarchRecursion(y, omega = 0.1, phi1 = 0.4, kappa1 = 0.2, kappastar = 0.1,
  df = 10, skew = 0.6, lambda.initial = NULL, c.code = TRUE, verbose = FALSE,
  aux = NULL)
tegarchRecursion2(y, omega = 0.1, phi1 = 0.4, phi2 = 0.2, kappa1 = 0.05,
  kappa2 = 0.1, kappastar = 0.02, df = 10, skew = 0.6, lambda.initial = NULL,
  c.code = TRUE, verbose = FALSE, aux = NULL)

Arguments

`y`	numeric vector, typically a financial return series
`omega`	numeric
`phi1`	numeric, must be less than 1 in absolute value
`phi2`	numeric, must be less than 1 in absolute value
`kappa1`	numeric
`kappa2`	numeric
`kappastar`	numeric
`df`	numeric, the value of df (degrees of freedom)
`skew`	numeric (positive), the value of skew (skewness parameter)
`verbose`	logical. If FALSE (default) then only lambda is returned. If TRUE then a matrix with y and the fitted values of, amongst other, sigma, the log-scale (lambda), the conditional standard deviation (stdev), u, epsilon and the standardised residuals (residstd) are returned
`pars`	numeric vector, the parameter values
`lower`	numeric vector, the lower bounds used during estimation
`upper`	numeric vector, the upper bounds used during estimation
`lambda.initial`	NULL (default) or initial value(s) of the recursion for lambda. If NULL, then the values are chosen automatically
`logl.penalty`	numeric value
`c.code`	logical. TRUE (default) is faster since it makes use of compiled C-code
`aux`	NULL (default) or a list, se `tegarch` code

Details

tegarchLogl and tegarchLogl2 return the value of the log-likelihood for a 1-component and 2-component model, respectively.

Value

`tegarchLogl:`	The log-likelihood value (i.e. a numeric) of a 1-component specification
`tegarchLogl2:`	The log-likelihood value (i.e. a numeric) of a 2-component specification
`tegarchRecursion:`	A numeric vector containing the lambda values if verbose=FALSE (default). If verbose=TRUE then a matrix then a matrix with y and the fitted values of sigma, the log-scale (lambda), the conditional standard deviation (stdev), u, epsilon and the standardised residuals (residstd) are returned
`tegarchRecursion2:`	A numeric vector containing the lambda values if verbose=FALSE (default). If verbose=TRUE, then a matrix then a matrix with y and the fitted values of sigma, the log-scale (lambda), the conditional standard deviation (stdev), u, epsilon and the standardised residuals (residstd) are returned

Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

References

Fernandez and Steel (1998), 'On Bayesian Modeling of Fat Tails and Skewness', Journal of the American Statistical Association 93, pp. 359-371.

Harvey and Sucarrat (2014), 'EGARCH models with fat tails, skewness and leverage'. Computational Statistics and Data Analysis 76, pp. 320-338.

Sucarrat (2013), 'betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models'. The R Journal (Volume 5/2), pp. 137-147.