MEM_loglik_no_skew {rumidas}R Documentation

MEM log-likelihood (no skewness parameter)

Description

Obtains the log-likelihood of the base MEM. For details, see Engle and Gallo (2006).

Usage

MEM_loglik_no_skew(param, x)

Arguments

param

Vector of starting values.

x

Dependent variable, usually the realized volatility. It must be positive and "xts" object.

Value

The resulting vector is the log-likelihood value for each i,t.

References

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.

Examples


start_val<-c(alpha=0.10,beta=0.8)
real<-(rv5['/2010'])^0.5		# realized volatility
sum(MEM_loglik_no_skew(start_val,real))


[Package rumidas version 0.1.2 Index]