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:
whereby ,
and
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.
See Also
[Package gogarch version 0.7-5 Index]