rumidas (version 0.1.3)

MEM_loglik: MEM log-likelihood (with skewness parameter)

Description

Obtains the log-likelihood of the base MEM, with an asymmetric term linked to past negative returns. For details, see engle_gallo_2006;textualrumidas.

Usage

MEM_loglik(param, x, daily_ret)

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.

References

Examples

# \donttest{
start_val<-c(alpha=0.10,beta=0.8,gamma=0.05)
real<-(rv5['/2010'])^0.5		# realized volatility
r_t<-sp500['/2010']
sum(MEM_loglik(start_val,real,r_t))
# }