MEM_X_pred {rumidas}R Documentation

MEM-X 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 and an additional X part (for instance, the VIX).

Usage

MEM_X_pred(param, x, daily_ret, z)

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.

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

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[Package rumidas version 0.1.2 Index]