betategarch (version 2.0)

tegarch.logl: Log-likelihood function of the one-component Beta-skew-t-EGARCH model

Description

Provides the value of the log-likelihood. Auxiliary function used by tegarch.est in the estimation of the Beta-skew-t-EGARCH model. Not intended for the average user.

Usage

tegarch.logl(y, pars, lower = -Inf, upper = Inf, lambda.initial = NULL,
  logl.penalty = -1e+100, c.code = TRUE, aux = NULL)

Arguments

y

numeric vector, typically a financial return series.

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

NULL (default) or a numeric value. If NULL, then the values are chosen automatically.

c.code

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

aux

NULL (default) or a list, se code.

Value

• The value of the log-likelihood at the provided parameter values for the given data.

Details

Empty

References

Harvey and Sucarrat (2012), 'EGARCH models with fat tails, skewness and leverage', Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge

See Also

tegarch.recursion, tegarch.logl2, tegarch.est