lgarchObjective and lgarchRecursion1 are auxiliary functions called by lgarch. The functions are not intended for the average user.
lgarchObjective(pars, aux)
lgarchRecursion1(pars, aux)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
numeric vector with the parameters of the ARMA representation
auxiliary list
Genaro Sucarrat, https://www.sucarrat.net/
To understand the structure and content of pars and aux, see the source code of the lgarch function
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 tools:::Rd_expr_doi("https://doi.org/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, tools:::Rd_expr_doi("http://dx.doi.org/10.1016/j.csda.2015.12.005")
lgarch