Displaying 1 result from an estimated 1 matches for "garchdist".
Did you mean:
archaist
2011 Feb 26
0
A problem about realized garch model
...h[i]))*z[i]
}
gdata = rbind(r,exp(logx))
ans = gdata[,-(1:(n.warm+1))]
ans
}
===========================
This is my estimation code:
============================
LLH<-function(data,theta)
{
r = data[1,]
x = data[2,]
n = dim(data)[2]
logx = log(x)
logh = rep(0,n)
u = rep(0,n)
garchDist = function(r, hh) { dnorm(x = r/hh)/hh }
measureDist = function(u,sigma){dnorm(x = u/sigma)/sigma}
omega = theta[1]
bet = theta[2]
gam = theta[3]
xi = theta[4]
phi = theta[5]
tau1 = theta[6]
tau2 = theta[7]
sigma.u = theta[8]
logh.pre = 0.1
logx.pre = 0.1
logh[1]<-omega+b...