Grocer Function

NAME

garch_grad2 - Generates garch gradient

CALLING SEQUENCE

[g,dht,gradt]=garch_grad2(parm,nar,nma,y,x)

PARAMETERS

Input

Output

DESCRIPTION

Generates garch likelihood gradient. The maximised parameters are the parameters before the transformation that insures the positivity of the variance, whereas garch_gard applies to the true garch parameters, that is the ones obtained after this transformation.

EXAMPLE

g=garch_grad2(p,nar,nma,grocer_y,grocer_x)

Example taken from function garch(). 

AUTHOR

Eric Dubois 2002