I have an estimation codes in which Multivariate EGARCH model with dynamic conditional correlation is estimated. These codes were written by some one. I need some clarification in these codes of Likelihood function. The codes are given.
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@LOGL LOGL
DOLLAR_E = (DOLLAR - (DOLLAR_ALPHA0(1) + DOLLAR_ALPHA1(1)*DOLLAR(-1) + DOLLAR_ALPHA1(2)*BRENT(-1)))
BRENT_S = (BRENT - (DOLLAR_ALPHA0(2) + DOLLAR_ALPHA1(3)*DOLLAR(-1) + DOLLAR_ALPHA1(4)*BRENT(-1)))
DOLLAR_Z_E = DOLLAR_E/@SQRT(@VAR(DOLLAR_E))
BRENT_Z_S = BRENT_S/@SQRT(@VAR(BRENT_S))
LOG(DOLLAR_VAR_E) = DOLLAR_BETA0(1) + DOLLAR_BETA1(1)*(ABS(DOLLAR_Z_E(-1))-E_Z+DOLLAR_DELTA(1)*DOLLAR_Z_E(-1)) + DOLLAR_BETA1(2)*(ABS(BRENT_Z_S(-1))-E_Z+DOLLAR_DELTA(2)*BRENT_Z_S(-1)) + DOLLAR_GAMMA1(1)*LOG(DOLLAR_VAR_E(-1))+DOLLAR_DUM(1)*D_DUM1+DOLLAR_DUM(2)*D_DUM2+DOLLAR_DUM(3)*D_DUM3+DOLLAR_DUM(4)*D_DUM4+DOLLAR_DUM(5)*D_DUM5
LOG(BRENT_VAR_S) = DOLLAR_BETA0(2) + DOLLAR_BETA1(3)*(ABS(DOLLAR_Z_E(-1))-E_Z+DOLLAR_DELTA(1)*DOLLAR_Z_E(-1)) + DOLLAR_BETA1(4)*(ABS(BRENT_Z_S(-1))-E_Z+DOLLAR_DELTA(2)*BRENT_Z_S(-1)) + DOLLAR_GAMMA1(2)*LOG(BRENT_VAR_S(-1))+BRENT_DUM(1)*B_SC1+BRENT_DUM(2)*B_SC2+BRENT_DUM(3)*B_SC3+BRENT_DUM(4)*B_SC4+BRENT_DUM(5)*B_SC5
DOLLAR_Z_E = DOLLAR_E/@SQRT(DOLLAR_VAR_E)
BRENT_Z_S = BRENT_S/@SQRT(BRENT_VAR_S)
DOLLAR_XI = DOLLAR_ETA(1) + DOLLAR_ETA(2)*DOLLAR_Z_E(-1)*BRENT_Z_S(-1) + DOLLAR_ETA(3)*DOLLAR_XI(-1)
DOLLAR_COR=2/(1+@EXP(-DOLLAR_XI))-1
DOLLAR_COV=DOLLAR_COR*@SQRT(DOLLAR_VAR_E*BRENT_VAR_S)
DOLLAR_DETH = DOLLAR_VAR_E*BRENT_VAR_S - DOLLAR_COV^2
LOGL =-0.5*(2*1*(3387)*LOG(2*@ACOS(-1)) + LOG(DOLLAR_DETH) + (DOLLAR_E^2*BRENT_VAR_S + BRENT_S^2*DOLLAR_VAR_E - 2*DOLLAR_COV*DOLLAR_E*BRENT_S)/DOLLAR_DETH)
Division by Zero
what should I do to execute these codes.
The complete workfile is attached with this post