[R-SIG-Finance] cgarchfit (rmgarch package): cannot reconcile likelihood of a Copula-GARCH model

[Ezequiel Antar]

I cannot reconcile the log-likelihood of a Copula-GARCH model.
Below is a simple example where the marginal volatilities are constant (for
which I use iGARCH with beta1 = 1) and have Normal distribution; and the
copula is constant and Gaussian. In short, the model is that of
returns having multivariate Normal distribution with constant parameters.
I compare the likelihood from cgarchfit (= 5890.564) with the likelihood
using the multinormal density, with both mean and covariance taken from
cgarchfit (= 5896.262). They should be the same.

Any help understanding why I cannot reconcile this will be much
appreciated!

-----------------------------------------------------------

library(rmgarch)

library(mvtnorm)



data(dji30retw)

z.t <- dji30retw[, 1:3]



uspec.each <- ugarchspec(mean.model = list(armaOrder = c(0,0)),

                         variance.model = list(model = "iGARCH", garchOrder
= c(1,1)),

                         distribution.model = "norm",

                         fixed.pars = list(beta1 = 1, alpha1 = 0, omega =
0))



mspec <- cgarchspec(uspec = multispec(replicate(ncol(z.t), uspec.each)),

                    distribution.model = list(copula = "mvnorm", method =
"Kendall", time.varying = FALSE, transformation = "parametric"))



cgarch <- cgarchfit(spec = mspec, data = z.t, solver.control=list(trace=1))



likelihood(cgarch) # 5890.564



mu <- coef(cgarch, type = 'garch')

cov <- rcov(cgarch)[,,1]

sum(dmvnorm(z.t, mean = mu, sigma = cov, log = TRUE)) # 5896.262

<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail>
Virus-free.
www.avast.com
<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail>
<#DAB4FAD8-2DD7-40BB-A1B8-4E2AA1F9FDF2>

	[[alternative HTML version deleted]]