Package: mfGARCH 0.2.2
mfGARCH: Mixed-Frequency GARCH Models
Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, <doi:10.1162/REST_a_00300>) and related statistical inference, accompanying the paper "Two are better than one: Volatility forecasting using multiplicative component GARCH models" by Conrad and Kleen (2020, <doi:10.1002/jae.2742>). The GARCH-MIDAS model decomposes the conditional variance of (daily) stock returns into a short- and long-term component, where the latter may depend on an exogenous covariate sampled at a lower frequency.
Authors:
mfGARCH_0.2.2.tar.gz
mfGARCH_0.2.2.zip(r-4.7-x86_64)mfGARCH_0.2.2.zip(r-4.7-arm64)mfGARCH_0.2.2.zip(r-4.6-x86_64)mfGARCH_0.2.2.zip(r-4.6-arm64)mfGARCH_0.2.2.zip(r-4.5-x86_64)
mfGARCH_0.2.2.tgz(r-4.6-x86_64)mfGARCH_0.2.2.tgz(r-4.6-arm64)mfGARCH_0.2.2.tgz(r-4.5-x86_64)mfGARCH_0.2.2.tgz(r-4.5-arm64)
mfGARCH_0.2.2.tar.gz(r-4.7-arm64)mfGARCH_0.2.2.tar.gz(r-4.7-x86_64)mfGARCH_0.2.2.tar.gz(r-4.6-arm64)mfGARCH_0.2.2.tar.gz(r-4.6-x86_64)
mfGARCH_0.2.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
mfGARCH/json (API)
| # Install 'mfGARCH' in R: |
| install.packages('mfGARCH', repos = c('https://onnokleen.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/onnokleen/mfgarch/issues
- df_financial - Stock returns and financial conditions.
- df_mfgarch - Mixed-frequency data set.
Last updated from:cb76089ae4. Checks:15 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 145 | ||
| linux-devel-x86_64 | OK | 180 | ||
| source / vignettes | OK | 170 | ||
| linux-release-arm64 | OK | 152 | ||
| linux-release-x86_64 | OK | 179 | ||
| macos-release-arm64 | OK | 148 | ||
| macos-release-x86_64 | OK | 328 | ||
| macos-oldrel-arm64 | OK | 144 | ||
| macos-oldrel-x86_64 | OK | 368 | ||
| windows-devel-arm64 | OK | 298 | ||
| windows-devel-x86_64 | OK | 229 | ||
| windows-release-arm64 | OK | 263 | ||
| windows-release-x86_64 | OK | 174 | ||
| windows-oldrel-x86_64 | OK | 179 | ||
| wasm-release | OK | 99 |
Exports:fit_mfgarchplot_weighting_schemesimulate_mfgarchsimulate_mfgarch_diffusionsimulate_mfgarch_rv_dependent
Dependencies:digestgenericslatticemaxLikmiscToolsnumDerivRcppsandwichzoo
