| 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 |
object |
An object of class |
garchlist |
List, elements are passed to |
Details
The log-Likelihood function of GO-GARCH models is given as:
L_{\theta, \alpha, \beta} = - \frac{1}{2} \sum_{t=1}^T m \log(2\pi)
+ \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.