Asymmetric Vector MEM using rmgarch

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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


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