rumidas: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and
MEM-MIDAS
Adds the MIxing-Data Sampling (MIDAS, Ghysels et al. (2007) <doi:10.1080/07474930600972467>) components to a variety of GARCH and MEM (Engle (2002) <doi:10.1002/jae.683>, Engle and Gallo (2006) <doi:10.1016/j.jeconom.2005.01.018>, and Amendola et al. (2024) <doi:10.1016/j.seps.2023.101764>) models, with the aim of predicting the volatility with additional low-frequency (that is, MIDAS) terms. The estimation takes place through simple functions, which provide in-sample and (if present) and out-of-sample evaluations. 'rumidas' also offers a summary tool, which synthesizes the main information of the estimated model. There is also the possibility of generating one-step-ahead and multi-step-ahead forecasts.
| Version: |
0.1.2 |
| Depends: |
R (≥ 4.0.0), maxLik (≥ 1.3-8) |
| Imports: |
roll (≥ 1.1.4), xts (≥ 0.12.0), tseries (≥ 0.10.47), Rdpack (≥ 1.0.0), lubridate (≥ 1.7.9), zoo (≥ 1.8.8), stats (≥
4.0.2), utils (≥ 4.0.2) |
| Suggests: |
knitr, rmarkdown |
| Published: |
2024-02-17 |
| DOI: |
10.32614/CRAN.package.rumidas |
| Author: |
Vincenzo Candila [aut, cre] |
| Maintainer: |
Vincenzo Candila <vcandila at unisa.it> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| Citation: |
rumidas citation info |
| Materials: |
NEWS |
| CRAN checks: |
rumidas results |
Documentation:
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Reverse dependencies:
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