GM_2M_loglik_no_skew: GARCH-MIDAS-2M log-likelihood (without skewness)

In rumidas: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS

GARCH-MIDAS-2M log-likelihood (without skewness)

Description

Obtains the log-likelihood of the GARCH-MIDAS with two low-frequency variables, according to two errors' conditional distributions: Normal and Student-t. For details, see \insertCiteengle_ghysels_sohn_2013;textualrumidas and \insertCiteconrad_lock_2015;textualrumidas.

Usage

GM_2M_loglik_no_skew(
  param,
  daily_ret,
  mv_m_1,
  mv_m_2,
  K_1,
  K_2,
  distribution,
  lag_fun = "Beta"
)

Arguments

param	Vector of starting values.
daily_ret	Daily returns, which must be an "xts" object.
mv_m_1	first MIDAS variable already transformed into a matrix, through mv_into_mat function.
mv_m_2	second MIDAS variable already transformed into a matrix, through mv_into_mat function.
K_1	Number of (lagged) realizations of the first MIDAS variable to consider.
K_2	Number of (lagged) realizations of the second MIDAS variable to consider.
distribution	The conditional density to use for the innovations. At the moment, valid choices are "norm" and "std", for the Normal and Student-t distributions.
lag_fun	optional. Lag function to use. Valid choices are "Beta" (by default) and "Almon", for the Beta and Exponential Almon lag functions, respectively.

Value

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

References

\insertAllCited

See Also

mv_into_mat.

Examples

# conditional density of the innovations: normal
start_val<-c(alpha=0.01,beta=0.8,m=0,theta_1=0.1,w2_1=2,theta_2=0.1,w2_2=2)
r_t<-sp500['2005/2010']
mv_m_1<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
mv_m_2<-mv_into_mat(r_t,diff(indpro),K=24,"monthly")
sum(GM_2M_loglik_no_skew(start_val,r_t,mv_m_1,mv_m_2,K_1=12,K_2=24,distribution="norm"))

rumidas documentation built on April 4, 2025, 1:01 a.m.