MEM_X_pred_no_skew: MEM-X one-step-ahead predictions (no skewness parameter)
In rumidas: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS
View source: R/midas_functions.R
MEM_X_pred_no_skew R Documentation
MEM-X one-step-ahead predictions (no skewness parameter)
Description
Predicts the dependent variable, usually the realized volatility, for the base MEM, with an additional X part (for instance, the VIX).
Usage
MEM_X_pred_no_skew(param, x, z)
Arguments
param
Vector of estimated values.
x
Dependent variable, usually the realized volatility. It must be positive and "xts" object.
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
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View source: R/midas_functions.R
| MEM_X_pred_no_skew | R Documentation |
MEM-X one-step-ahead predictions (no skewness parameter)
Description
Predicts the dependent variable, usually the realized volatility, for the base MEM, with an additional X part (for instance, the VIX).
Usage
MEM_X_pred_no_skew(param, x, z)
Arguments
param |
Vector of estimated values. |
x |
Dependent variable, usually the realized volatility. It must be positive and "xts" object. |
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
\insertAllCitedR Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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