EGARCH Log-likelihood calculation

[eduardors]

Hi Eviews team!

I need a help to understand how Eviews calculates EGARCH log-likelihood. I firstly estimated an EGARCH and, using Eviews coefficients results, tried to replicate Eviews log-likelihood output. However, I am unable to get the same value. The difference is not that big, but I am curious since I can match it using GARCH(1,1) with the information available on Eviews Help.

I am sending attached a file with my manual calculation that includes a random series as an example. There's a GARCH and an EGARCH tab with Eviews and manual calculation results.

Could you please let me know if I am missing anything when replication EGARCH log-likelihood?

Thank you very much for your support

[EViews Gareth]

For eGARCH the first observation for the variance is calculated as:

Code: Select all

log_garch = omega + alpha*sqrt(2/pi) + beta*log_garch0

If you change your cell value in C3 to:

Code: Select all

=EXP($M$2+$M$3*ABS(SQRT(2/PI())+$M$4*LN(C2)))

you should match (up to rounding error)

[eduardors]

Perfect! Many Thanks!