Package: mfGARCH 0.2.1
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_0.2.1.tar.gz
mfGARCH_0.2.1.zip(r-4.5)mfGARCH_0.2.1.zip(r-4.4)mfGARCH_0.2.1.zip(r-4.3)
mfGARCH_0.2.1.tgz(r-4.4-x86_64)mfGARCH_0.2.1.tgz(r-4.4-arm64)mfGARCH_0.2.1.tgz(r-4.3-x86_64)mfGARCH_0.2.1.tgz(r-4.3-arm64)
mfGARCH_0.2.1.tar.gz(r-4.5-noble)mfGARCH_0.2.1.tar.gz(r-4.4-noble)
mfGARCH_0.2.1.tgz(r-4.4-emscripten)mfGARCH_0.2.1.tgz(r-4.3-emscripten)
mfGARCH.pdf |mfGARCH.html✨
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 2 years agofrom:3de3314dd7. Checks:OK: 9. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 03 2024 |
| R-4.5-win-x86_64 | OK | Nov 03 2024 |
| R-4.5-linux-x86_64 | OK | Nov 03 2024 |
| R-4.4-win-x86_64 | OK | Nov 03 2024 |
| R-4.4-mac-x86_64 | OK | Nov 03 2024 |
| R-4.4-mac-aarch64 | OK | Nov 03 2024 |
| R-4.3-win-x86_64 | OK | Nov 03 2024 |
| R-4.3-mac-x86_64 | OK | Nov 03 2024 |
| R-4.3-mac-aarch64 | OK | Nov 03 2024 |
Exports:fit_mfgarchplot_weighting_schemesimulate_mfgarchsimulate_mfgarch_diffusionsimulate_mfgarch_rv_dependent
Dependencies:digestgenericslatticemaxLikmiscToolsnumDerivRcppsandwichzoo
