MEM_X_loglik {rumidas} | R Documentation |
Obtains the log-likelihood of the base MEM, with an asymmetric term linked to past negative returns and an additional X part (for instance, the VIX).
MEM_X_loglik(param, x, daily_ret, z)
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. |
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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start_val<-c(alpha=0.10,beta=0.8,gamma=0.05,delta=0.01)
real<-(rv5['/2010'])^0.5 # realized volatility
r_t<-sp500['/2010']
z<-vix['2010']
sum(MEM_X_loglik(start_val,real,r_t,z))