gollh function

Log-Likelihood function of GO-GARCH models

This function returns the negative of the log-Likelihood function for GO-GARCH models. latin1

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

Returns

• 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.

Author(s)

Bernhard Pfaff

See Also

garchFit