Name

garch_like — log likelihood for garch model

CALLING SEQUENCE

llik=garch_like(parm,nar,nma,y,x)

PARAMETERS

Input

• param = vector of parameters (beta, a0, ar and ma in that order)

• nar = # of ar parameters

• nma = # of ma parameters

• y = data vector

• x = data matrix

Output

  -log likelihood function value

DESCRIPTION

Generates log likelihood for garch model. Parameters are transformed in order to ensure the positivity of the variance.

EXAMPLE

f=garch_like(p,nar,nma,grocer_y,grocer_x)
 
Example taken from function garch().  

               

AUTHOR

Eric Dubois 2002