rumidas (version 0.1.3)

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

Description

Predicts the dependent variable, usually the realized volatility, for the MEM-MIDAS, with an asymmetric term linked to past negative returns.

Usage

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

Value

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

Arguments

param

Vector of estimated values. It must be a six--dimensional vector. See the example below.

x

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

daily_ret

Daily returns, which must be an "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.

References

See Also

mv_into_mat.

Examples

# \donttest{
est_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")
est_vol<-MEM_MIDAS_pred(est_val,real,r_t,mv_m,K=12)
head(est_vol)
# }