MEM_loglik {rumidas} | R Documentation |
Obtains the log-likelihood of the base MEM, with an asymmetric term linked to past negative returns. For details, see Engle and Gallo (2006).
MEM_loglik(param, x, daily_ret)
param |
Vector of starting 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. |
The resulting vector is the log-likelihood value for each i,t
.
Engle RF, Gallo GM (2006). “A Multiple Indicators Model for Volatility Using Intra-Daily Data.” Journal of Econometrics, 131, 3–27. doi:10.1016/j.jeconom.2005.01.018.
start_val<-c(alpha=0.10,beta=0.8,gamma=0.05)
real<-(rv5['/2010'])^0.5 # realized volatility
r_t<-sp500['/2010']
sum(MEM_loglik(start_val,real,r_t))