rumidas (version 0.1.3)

MEM_MIDAS_loglik_no_skew: MEM-MIDAS log-likelihood (no skewness parameter)

Description

Obtains the log-likelihood of the MEM-MIDAS.

Usage

MEM_MIDAS_loglik_no_skew(param, x, mv_m, K)

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

mv_m

MIDAS variable already transformed into a matrix, through mv_into_mat function

K

Number of (lagged) realizations of the MIDAS variable to consider

References

See Also

mv_into_mat.

Examples

# \donttest{
start_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_loglik_no_skew(start_val,real,mv_m,K=12))
# }