MEM_X_loglik_no_skew {rumidas}R Documentation

MEM-X log-likelihood (no skewness parameter)

Description

Obtains the log-likelihood of the base MEM, with an additional X part (for instance, the VIX).

Usage

MEM_X_loglik_no_skew(param, x, z)

Arguments

param

Vector of starting values.

x

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

z

Additional daily variable which must be an "xts" object, and with the same length of x.

Value

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

References

There are no references for Rd macro ⁠\insertAllCites⁠ on this help page.

Examples


start_val<-c(alpha=0.10,beta=0.8,delta=0.01)
real<-(rv5['/2010'])^0.5		# realized volatility
z<-vix['2010']
sum(MEM_X_loglik_no_skew(start_val,real,z))


[Package rumidas version 0.1.2 Index]