awt_quant.forecast.stochastic.stochastic_likelihoods

Negative Log-Likelihood Functions for Stochastic Models

This module provides:

  • neg_log_likelihood_ou: Log-likelihood for Ornstein-Uhlenbeck (OU) process.

  • neg_log_likelihood_cir: Log-likelihood for Cox-Ingersoll-Ross (CIR) process.

Module Contents

awt_quant.forecast.stochastic.stochastic_likelihoods.neg_log_likelihood_ou(params, data, dt)[source]

Computes the negative log-likelihood for the Ornstein-Uhlenbeck (OU) process.

Parameters:

  • params (tuple) – (mu, kappa, sigma) parameters.

  • data (np.ndarray) – Log-returns data.

  • dt (float) – Time step.

Returns:

Negative log-likelihood value.

Return type:

float

awt_quant.forecast.stochastic.stochastic_likelihoods.neg_log_likelihood_cir(params, data, dt)[source]

Computes the negative log-likelihood for the Cox-Ingersoll-Ross (CIR) process.

Parameters:

  • params (tuple) – (kappa, theta, sigma) parameters.

  • data (np.ndarray) – Volatility data.

  • dt (float) – Time step.

Returns:

Negative log-likelihood value.

Return type:

float