lgarch (version 0.2)

lgarchObjective: Auxiliary functions

Description

lgarchObjective and lgarchRecursion1 are auxiliary functions called by lgarch, and are not intended to be used by the average user.

Usage

lgarchObjective(pars, aux)
lgarchRecursion1(pars, aux)

Arguments

pars

numeric vector of parameters

aux

auxiliary list

Value

• lgarchLogl returns the log-likelihood of the ARMA representation, whereas lgarchRecursion1 returns the residuals of the ARMA representation associated with parameters pars

Details

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

References

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