MEM_X_pred: MEM-X one-step-ahead predictions (with skewness parameter)

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

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