Evaluates the negative log-likelihood of observing log_returns
under the Merton (1976) model. The density is approximated by a
Gaussian mixture truncated at N_max = 50 terms.
Usage
mertonLogLik(params, log_returns, dt = 1/252, N_max = 50L)
Arguments
- params
Named numeric vector:
c(mu, sigma, lambda, mu_j, sigma_j).
- log_returns
Numeric vector of observed log asset returns.
- dt
Numeric. Length of each time step (default 1/252).
- N_max
Integer. Number of mixture terms (default 50).
Value
Scalar. Negative log-likelihood. Returns Inf for
invalid parameter values.
Examples
ret <- jdSampleData("merton", n = 200, seed = 42)
p <- c(mu = 0.05, sigma = 0.2, lambda = 1, mu_j = -0.1, sigma_j = 0.15)
mertonLogLik(p, ret)
#> [1] -566.6486