MEM_pred {rumidas} | R Documentation |
MEM one-step-ahead predictions (with skewness parameter)
Description
Predicts the dependent variable, usually the realized volatility, for the base MEM, with an asymmetric term linked to past negative returns. For details, see Engle and Gallo (2006).
Usage
MEM_pred(param, x, daily_ret)
Arguments
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. |
Value
The resulting vector is the one-step-ahead prediction 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
est_val<-c(alpha=0.10,beta=0.8,gamma=0.05)
real<-(rv5['/2010'])^0.5 # realized volatility
r_t<-sp500['/2010']
head(MEM_pred(est_val,real,r_t))
[Package rumidas version 0.1.2 Index]