rumidas (version 0.1.3)

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

Description

Predicts the dependent variable, usually the realized volatility, for the base MEM, with an asymmetric term linked to past negative returns. For details, see engle_gallo_2006;textualrumidas.

Usage

MEM_pred(param, x, daily_ret)

Value

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

Arguments

param

Vector of estimated 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{
est_val<-c(alpha=0.10,beta=0.8,gamma=0.05)
real<-(rv5['/2010'])^0.5		# realized volatility
r_t<-sp500['/2010']
head(MEM_pred(est_val,real,r_t))
# }