gollh {gogarch}

Log-Likelihood function of GO-GARCH models
Package:
gogarch
Version:
0.7-2

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 theta.
object
An object of class Goinit or an extension thereof.
garchlist
List, elements are passed to garchFit.

Details

The log-Likelihood function of GO-GARCH models is given as:

whereby Z = P Δ^{\frac{1}{2}} U_0, y_t = Z^{-1}x_t and H_t is the conditional variance matrix of the independent components.

Values

negll
Scalar, the negative value of the log-Likelihood function.

References

Van der Weide, Roy (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17(5), 549 -- 564.

garchFit