Financial Toolbox | ![]() ![]() |
Log-likelihood objective function of univariate GARCH(P,Q) processes with Gaussian innovations
Syntax
Arguments
Description
LogLikelihood = ugarchllf(Parameters, U, P, Q)
computes the log-likelihood objective function of univariate GARCH(P,Q) processes with Gaussian innovations.
LogLikelihood
is a scalar value of the GARCH(P,Q) log-likelihood objective function given the input arguments. This function is meant to be optimized via the fmincon
function of the Optimization Toolbox.
fmincon
is a minimization routine. To maximize the log-likelihood function, the LogLikelihood
output parameter is actually the negative of what is formally presented in most time series or econometrics references.
The time-conditional variance, t2, of a GARCH(P,Q) process is modeled as
where represents the argument
Alpha
, and represents
Beta
.
U
is a vector of residuals or innovations (t) representing a mean-zero, discrete time stochastic process. Although
t2 is generated via the equation above,
t and
t2 are related as
where {
vt}
is an independent, identically distributed (i.i.d.) sequence ~ N(0,1).
Since ugarchllf
is really just a helper function, no argument checking is performed. This function is not meant to be called directly from the command line.
Note
ugarchllf corresponds generally to the GARCH Toolbox function garchllfn . The GARCH Toolbox provides a comprehensive and integrated computing environment for the analysis of volatility in time series. For information see the GARCH Toolbox User's Guide or the financial products Web page at http://www.mathworks.com/products/finprod/.
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See Also
ugarch
, ugarchpred
, ugarchsim
, and the GARCH Toolbox function garchllfn
![]() | ugarch | ugarchpred | ![]() |