MEM_MIDAS_lr_pred_no_skew {rumidas} | R Documentation |
Predicts the long-run term of the dependent variable, usually the realized volatility, for the MEM-MIDAS.
MEM_MIDAS_lr_pred_no_skew(param, x, mv_m, K)
param |
Vector of starting values. |
x |
Dependent variable, usually the realized volatility. It must be positive and "xts" object. |
mv_m |
MIDAS variable already transformed into a matrix, through |
K |
Number of (lagged) realizations of the MIDAS variable to consider. |
The resulting vector is the log-likelihood value for each i,t
.
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est_val<-c(alpha=0.10,beta=0.8,m=0,theta=-0.16,w2=5)
real<-(rv5['/2010'])^0.5 # realized volatility
mv_m<-mv_into_mat(real,diff(indpro),K=12,"monthly")
sum(MEM_MIDAS_lr_pred_no_skew(est_val,real,mv_m,K=12))