lgarch (version 0.6-2)

lgarchObjective: 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

Value

lgarchObjective 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

Details

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

References

Francq, C. and G. Sucarrat (2013), 'An Exponential Chi-Squared QMLE for Log-GARCH Models via the ARMA Representation', MPRA Paper 51783: http://mpra.ub.uni-muenchen.de/51783/

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/

See Also

lgarch