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

[Evan Matthews (HDR)]

Hi,

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.

Thanks,
~Evan


	[[alternative HTML version deleted]]