[R-SIG-Finance] Asymmetric Vector MEM using rmgarch

Evan Matthews (HDR) ev@n@m@tthew@1 @end|ng |rom hdr@mq@edu@@u
Tue Feb 11 06:04:34 CET 2020


Is it possible to run an asymmetric vector MEM using the rmgarch package??  And if so, could someone please point me towards the R code that could achieve that?

The general model that I am trying to code in R can be found in this paper here https://www.nber.org/papers/w12690.pdf  The reason I am wanting to use the asymmetric vMEM is because the high frequency data that I have contains calls and puts among other things that I wish to model.

The resource here https://stats.stackexchange.com/questions/209789/estimate-the-paramters-of-the-simplest-multiplicative-error-model shows how to code a standard MEM, however, I don't quite understand what the code is doing compared to the formulas in the paper that were referenced.

Any assistance would be greatly appreciated.


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