lgarchObjective {lgarch}R Documentation

Auxiliary functions

Description

lgarchObjective and lgarchRecursion1 are auxiliary functions called by lgarch. The functions are not intended for the average user.

Usage

lgarchObjective(pars, aux)
lgarchRecursion1(pars, aux)

Arguments

pars

numeric vector with the parameters of the ARMA representation

aux

auxiliary list

Details

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

Value

lgarchObjectivek() returns the value of the objective function (either the log-likelihood or the residual sum of squares) used in estimating the ARMA representation. lgarchRecursion1 returns the residuals of the ARMA representation associated with the ARMA parameters pars

Author(s)

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

References

C. Francq and G. Sucarrat (2018), 'An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation', Journal of Financial Econometrics 16, pp. 129-154 doi:10.1093/jjfinec/nbx032

G. Sucarrat, S. Gronneberg and A. Escribano (2016), 'Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown', Computational Statistics and Data Analysis 100, pp. 582-594, doi:10.1016/j.csda.2015.12.005

See Also

lgarch


[Package lgarch version 0.7 Index]