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

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

MEM 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. For details, see \insertCiteengle_gallo_2006;textualrumidas.

Usage

MEM_pred(param, x, daily_ret)

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.

Value

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

References

\insertAllCited

Examples

est_val<-c(alpha=0.10,beta=0.8,gamma=0.05)
real<-(rv5['/2010'])^0.5		# realized volatility
r_t<-sp500['/2010']
head(MEM_pred(est_val,real,r_t))

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