MEM_MIDAS_X_pred {rumidas} | R Documentation |
MEM-MIDAS-X one-step-ahead predictions (with skewness parameter)
Description
Predicts the dependent variable, usually the realized volatility, for the MEM-MIDAS-X, with an asymmetric term linked to past negative returns and an additional X part (for instance, the VIX).
Usage
MEM_MIDAS_X_pred(param, x, daily_ret, mv_m, K, z)
Arguments
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 |
mv_m |
MIDAS variable already transformed into a matrix, through |
K |
Number of (lagged) realizations of the MIDAS variable to consider |
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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See Also
[Package rumidas version 0.1.2 Index]