betategarch (version 3.3)

tegarchLogl: Auxiliary functions

Description

tegarchLogl, tegarchLogl2, tegarchRecursion and tegarchRecursion2 are auxiliary functions called by tegarch, and which are not intended to be used for the average user. Henceforth they are thusonly scarcely documented, but most should either be self-explanatory (for the non-average user!) or more or less documented in relation with the tegarch and tegarchSim functions.

Usage

##the '2' relates to the 2-component specification:
tegarchLogl(y, pars, lower = -Inf, upper = Inf, lambda.initial = NULL, logl.penalty = -1e+100, c.code = TRUE, aux = NULL)
tegarchLogl2(y, pars, lower = -Inf, upper = Inf, lambda.initial = NULL, logl.penalty = -1e+101, c.code = TRUE, aux = NULL)
tegarchRecursion(y, omega = 0.1, phi1 = 0.4, kappa1 = 0.2, kappastar = 0.1, df = 10, skew = 0.6, lambda.initial = NULL, c.code = TRUE, verbose = FALSE, aux = NULL)
tegarchRecursion2(y, omega = 0.1, phi1 = 0.4, phi2 = 0.2, kappa1 = 0.05, kappa2 = 0.1, kappastar = 0.02, df = 10, skew = 0.6, lambda.initial = NULL, c.code = TRUE, verbose = FALSE, aux = NULL)

Arguments

y

numeric vector, typically a financial return series

omega

numeric

phi1

numeric, must be less than 1 in absolute value

phi2

numeric, must be less than 1 in absolute value

kappa1

numeric

kappa2

numeric

kappastar

numeric

df

numeric, the value of df (degrees of freedom)

skew

numeric (positive), the value of skew (skewness parameter)

verbose

logical. If FALSE (default) then only lambda is returned. If TRUE then a matrix with y and the fitted values of, amongst other, sigma, the log-scale (lambda), the conditional standard deviation (stdev), u, epsilon and the standardised residuals (residstd) are returned

pars

numeric vector, the parameter values

lower

numeric vector, the lower bounds used during estimation

upper

numeric vector, the upper bounds used during estimation

lambda.initial

NULL (default) or initial value(s) of the recursion for lambda. If NULL, then the values are chosen automatically

logl.penalty

numeric value

c.code

logical. TRUE (default) is faster since it makes use of compiled C-code

aux

NULL (default) or a list, se tegarch code

Value

Details

tegarchLogl and tegarchLogl2 return the value of the log-likelihood for a 1-component and 2-component model, respectively.

References

Fernandez and Steel (1998), 'On Bayesian Modeling of Fat Tails and Skewness', Journal of the American Statistical Association 93, pp. 359-371.

Harvey and Sucarrat (2014), 'EGARCH models with fat tails, skewness and leverage'. Computational Statistics and Data Analysis 76, pp. 320-338.

Sucarrat (2013), 'betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models'. The R Journal (Volume 5/2), pp. 137-147.

See Also

tegarch, tegarchSim, fitted.tegarch