Grocer Function
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