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

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

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

Description

Predicts the dependent variable, usually the realized volatility, for the base MEM. For details, see \insertCiteengle_gallo_2006;textualrumidas.

Usage

MEM_pred_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

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

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