mlgarchObjective {lgarch}

Auxiliary functions

Description

mlgarchObjective and mlgarchRecursion1 are auxiliary functions called by mlgarch. The functions are not intended for the average user.

Usage

mlgarchObjective(pars, aux)
mlgarchRecursion1(pars, aux)

Arguments

pars

numeric vector of VARMA parameters

aux

auxiliary list

Details

To understand the structure and content of pars and aux, see the source code of the mlgarch function

Value

mlgarchObjective returns the log-likelihood of the VARMA representation, whereas mlgarchRecursion1 returns the residuals of the VARMA representation associated with the VARMA parameters pars

Author(s)

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

References

Sucarrat, Gronneberg and Escribano (2013), 'Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown', MPRA Paper 49344: http://mpra.ub.uni-muenchen.de/49344/

See Also

mlgarch and lgarchObjective