mlgarchObjective

mlgarchRecursion1

pars

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

time series

Statistical Models

Financial Econometrics

Simulation and estimation of univariate and multivariate log-GARCH models. The main functions of the package are: lgarchSim(), mlgarchSim(), lgarch() and mlgarch(). The first two functions simulate from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimate a univariate and multivariate log-GARCH model, respectively.

Genaro Sucarrat

lgarch

Simulation and Estimation of Log-GARCH Models

mlgarchObjective function

<dl> <dt>pars</dt>
<dd>numeric vector of VARMA parameters</dd> <dt>aux</dt>
<dd>auxiliary list</dd></dl>

Arguments

Genaro Sucarrat, <a href="http://www.sucarrat.net/">http://www.sucarrat.net/</a>

Author

Auxiliary functions — mlgarchObjective

<dl>

 <dt>pars</dt>
<dd>numeric vector of VARMA parameters</dd>

 <dt>aux</dt>
<dd>auxiliary list</dd>

</dl>

Genaro Sucarrat, <a href='http://www.sucarrat.net/'>http://www.sucarrat.net/</a>

mlgarchObjective: Auxiliary functions

Description

Usage

Value

Arguments

Author

Details

References

See Also