rumidas (version 0.1.3)

MEM_MIDAS_X_loglik_no_skew: MEM-MIDAS-X log-likelihood (no skewness parameter)

Description

Obtains the log-likelihood of the MEM-MIDAS-X, with an additional X part (for instance, the VIX).

Usage

MEM_MIDAS_X_loglik_no_skew(param, x, mv_m, K, z)

Value

The resulting vector is the log-likelihood value for each \(i,t\)

Arguments

param

Vector of starting values

x

Dependent variable, usually the realized volatility. It must be positive and "xts" object

mv_m

MIDAS variable already transformed into a matrix, through mv_into_mat function

K

Number of (lagged) realizations of the MIDAS variable to consider

z

Additional daily variable which must be an "xts" object, and with the same length of x

References

See Also

mv_into_mat.

Examples

# \donttest{
start_val<-c(alpha=0.10,beta=0.8,m=0,theta=-0.16,w2=5,delta=0.1)
real<-(rv5['2010'])^0.5		# realized volatility
mv_m<-mv_into_mat(real,diff(indpro),K=12,"monthly")
sum(MEM_MIDAS_X_loglik_no_skew(start_val,real,mv_m,K=12,z=vix['2010']))
# }