Displaying 1 result from an estimated 1 matches for "iplusless1".
2012 Feb 21
0
BHHH algorithm on duration time models for stock prices
...terations: 0
Return code: 100
Initial value out of range.
I don't know this is so because of the way i have written my loglikelihood or what.
The loglikelihood
LogLik<-function(param){
beta_1<-param[1]
beta_2<-param[2]
beta_3<-param[3]
beta_4<-param[4]
lambda.plus<-beta_1*Iplusless1 + beta_2*Iminusless1
lambda.minus<-beta_3*Iplusless1 + beta_4*Iminusless1
sum(Iplus_new*log(lambda.plus))-sum(log(lambda.plus)*x_new) +
sum(Iminus_new*log(lambda.minus))-sum(log(lambda.minus)*x_new)
}
The gradients
gradient<-function(param){
beta_1<-param[1]
beta_2<-param[2]
beta_3&l...