MEM_MIDAS_pred_no_skew: MEM-MIDAS one-step-ahead predictions (no skewness parameter)

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

MEM-MIDAS one-step-ahead predictions (no skewness parameter)

Description

Predicts the dependent variable, usually the realized volatility, for the MEM-MIDAS.

Usage

MEM_MIDAS_pred_no_skew(param, x, mv_m, K)

Arguments

param	Vector of starting values.
x	Dependent variable, usually the realized volatility. It must be positive and "xts" object.
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.

Value

The resulting vector is the one-step-ahead prediction for each i,t.

References

\insertAllCited

See Also

mv_into_mat.

Examples

est_val<-c(alpha=0.10,beta=0.8,m=0,theta=-0.16,w2=5)
real<-(rv5['/2010'])^0.5		# realized volatility
mv_m<-mv_into_mat(real,diff(indpro),K=12,"monthly")
sum(MEM_MIDAS_pred_no_skew(est_val,real,mv_m,K=12))

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