MEM_X_pred {rumidas} | R Documentation |
Predicts the dependent variable, usually the realized volatility, for the base MEM, with an asymmetric term linked to past negative returns and an additional X part (for instance, the VIX).
MEM_X_pred(param, x, daily_ret, z)
param |
Vector of estimated values. |
x |
Dependent variable, usually the realized volatility. It must be positive and "xts" object. |
daily_ret |
Daily returns, which must be an "xts" object, and with the same length of x. |
z |
Additional daily variable which must be an "xts" object, and with the same length of x. |
The resulting vector is the log-likelihood value for each i,t
.
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