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

load(GROCERDIR+'/data/garchd.dat')
 
bounds('1949q1','1983q4')
r1 = ols('gnpdef','cte','lagts(gnpdef)','lagts(2,gnpdef)','lagts(3,gnpdef)','lagts(4,gnpdef)');
bet = r1('beta');
s = r1('ser');
[y,namey,x]=explouniv('gnpdef',list('cte','lagts(gnpdef)','lagts(2,gnpdef)','lagts(3,gnpdef)','lagts(4,gnpdef)'));
parm=[bet ; s ; 0 ; 0 ]

f=garch_like(parm,1,1,y,x)
 
// (minus) log-likelihood at ols solution 

               

AUTHOR

Eric Dubois 2002