MEM_pred {rumidas}R Documentation

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 and Gallo (2006).

Usage

MEM_pred(param, x, daily_ret)

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.

Value

The resulting vector is the one-step-ahead prediction 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


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))


[Package rumidas version 0.1.3 Index]