MEM_loglik {rumidas}R Documentation

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 and Gallo (2006).

Usage

MEM_loglik(param, x, daily_ret)

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.

Value

The resulting vector is the log-likelihood value for each i,t.

References

Engle RF, Gallo GM (2006). “A Multiple Indicators Model for Volatility Using Intra-Daily Data.” Journal of Econometrics, 131, 3–27. doi:10.1016/j.jeconom.2005.01.018.

Examples


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))


[Package rumidas version 0.1.3 Index]