Replacement for MFE Toolbox Function normloglik

Im using the MFE Toolbox and I am trying to create a DCC GARCH Model, however the function "normloglik" in the log likelihood estimation is not recognised. Which function should I use to replace it?

Answer 1

[Shivam Lahoti]

Hi Tilman,

In MATLAB, if you are using the MFE Toolbox and encounter an issue with the function normloglik not being recognized, it is likely because it is not a standard function provided by MATLAB or the toolbox. In a GARCH model context, normloglik is probably meant to calculate the log-likelihood of a normally distributed series, which is a common assumption in GARCH models.

you can generally use the 'estimate' function from MATLAB's Econometrics Toolbox. This function allows you to fit your GARCH model and automatically calculates the log-likelihood as part of its output. To learn more about the 'estimate' function refer to the following documentation:

https://www.mathworks.com/help/econ/arima.estimate.html

I hope it was helpful.

Regards,

Shivam.