function?[LCLCL]?=?jumpgarch（uhlambdadeltatheta）
%?Jump?GARCH?function?evaluation?procedures.?jumpGARCH?is?a?function?for?a?
%?standard?jump?GARCH?while?ARJIGARCH?is?for?the?ARJI-Garch?model?of?Chan?and?
%?Maheu（2002）?“Conditional?Jump?Dynamics?in?Stock?Market?Returns“?JBES?vol?20?
%?no.?3?377-389.?The?names?of?the?components?are?taken?from?that?paper.?
%
%?kmax?which?is?the?maximum?value?of?jumps?to?be?used?in?the?infinite?sum?is?a?
%?global?variable?which?needs?to?be?set?before?using?either?of?these?procedures.?
%?The?default?is?20.?
%?
%?Note?that?in?evaluating?the?likelihood?rather?than?use?the?standard?
%?exp（-lambda）?integrating?constant?for?the?Poisson?this?sums?the?kernels?of?the?
%?Poisson?into?wt?and?divides?by?that.?In?effect?this?computes?the?log?likelihood?
%?conditional?on?the?number?of?jumps?being?<=?kmax.?This?should?make?the?
%?estimation?less?sensitive?to?the?choice?of?kmax.?（Even?if?the?final?converged?
%?likelihood?is?unaffected?by?a?slight?change?in?kmax?it‘s?possible?for?function?
%?evaluations?for?large?test?values?of?lambda?to?produce?misleading?results?if?the?
%standard?integrating?constant?is?used）.?
%?
%?Revision?Schedule:?
%??08/2008?Written?by?Tom?Doan?Estima?
%??本程序根據Tom?Doan（2008）的Rats程序改編，在此感謝Tom?Doan！
%???u??????????=?current?residual?
%???h??????????=?base?GARCH?variance?（before?jumps）?
%???lambda???=?Poisson?intensity?for?jumps?
%???deltasq?=?variance?of?Normal?jump?process?
%???theta????=?mean?of?Normal?jump?process
%???09/2011?Written?by?Yu?Cong?Hunan?University

%???設置最大累加次數
????kmax=20;
????T=size（u1）;
%???初始化?wt?CL
????wt=0.0;
????CL=zeros（T1）;
%???計算似然函數值
????for?k=0:kmax
????????jsd?=?sqrt（h+k*delta.^2）;
????????jp?=?exp（k*log（lambda）-gammaln（k+1））;
????????wt?=?wt+jp;
????????CL?=?CL?+?jp*（2*pi）^（-0.5）*exp（-0.5*（（u-k*theta）./jsd）.^2）./jsd;
????end
????????CL?=?log（CL/wt）;
????????LCL?=?sum（CL）;
????????LCL?=?-LCL;

?屬性????????????大小?????日期????時間???名稱
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?????文件???????1531??2012-02-10?13:11??jumpgarchfun.m

?????文件???????2017??2011-09-15?13:54??jumpgarch.m

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