MEM_loglik_no_skew: MEM log-likelihood (no skewness parameter)

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

MEM log-likelihood (no skewness parameter)

Description

Obtains the log-likelihood of the base MEM. For details, see \insertCiteengle_gallo_2006;textualrumidas.

Usage

MEM_loglik_no_skew(param, x)

Arguments

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

Value

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

References

\insertAllCited

Examples

start_val<-c(alpha=0.10,beta=0.8)
real<-(rv5['/2010'])^0.5		# realized volatility
sum(MEM_loglik_no_skew(start_val,real))

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