MEM_MIDAS_pred_no_skew {rumidas} | R Documentation |
MEM-MIDAS one-step-ahead predictions (no skewness parameter)
Description
Predicts the dependent variable, usually the realized volatility, for the MEM-MIDAS.
Usage
MEM_MIDAS_pred_no_skew(param, x, mv_m, K)
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 |
K |
Number of (lagged) realizations of the MIDAS variable to consider. |
Value
The resulting vector is the one-step-ahead prediction for each i,t
.
References
There are no references for Rd macro \insertAllCites
on this help page.
See Also
Examples
est_val<-c(alpha=0.10,beta=0.8,m=0,theta=-0.16,w2=5)
real<-(rv5['/2010'])^0.5 # realized volatility
mv_m<-mv_into_mat(real,diff(indpro),K=12,"monthly")
sum(MEM_MIDAS_pred_no_skew(est_val,real,mv_m,K=12))
[Package rumidas version 0.1.3 Index]