log likelihood for garch model
llik=garch_like(parm,nar,nma,y,x)
* 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
-log likelihood function value
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 | ![]() | ![]() |