mlgarchObjective function

Auxiliary functions

Auxiliary functions

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

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

Returns

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

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/

Author(s)

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

See Also

mlgarch and lgarchObjective