MEM_MIDAS_X_loglik: MEM-MIDAS-X log-likelihood (with skewness parameter)

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

MEM-MIDAS-X log-likelihood (with skewness parameter)

Description

Obtains the log-likelihood of 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_loglik(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 mv_into_mat function
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

\insertAllCited

See Also

mv_into_mat.

Examples

start_val<-c(alpha=0.10,beta=0.8,gamma=0.1,m=0,theta=-0.16,w2=5,delta=0.1)
r_t<-sp500['2010']
real<-(rv5['2010'])^0.5		# realized volatility
mv_m<-mv_into_mat(real,diff(indpro),K=12,"monthly")
sum(MEM_MIDAS_X_loglik(start_val,real,r_t,mv_m,K=12,z=vix['2010']))

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