rumidas (version 0.1.3)

MEM_MIDAS_loglik: MEM-MIDAS log-likelihood (with skewness parameter)

Description

Obtains the log-likelihood of the MEM-MIDAS, with an asymmetric term linked to past negative returns.

Usage

MEM_MIDAS_loglik(param, x, daily_ret, mv_m, K)

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.

daily_ret

Daily returns, which must be an "xts" object, and with the same length of x.

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.

References

See Also

mv_into_mat.

Examples

# \donttest{
start_val<-c(alpha=0.10,beta=0.8,gamma=0.1,m=0,theta=-0.16,w2=5)
r_t<-sp500['/2010']
real<-(rv5['/2010'])^0.5		# realized volatility
mv_m<-mv_into_mat(real,diff(indpro),K=12,"monthly")
sum(MEM_MIDAS_loglik(start_val,real,r_t,mv_m,K=12))
# }