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:Onno Kleen [aut, cre]

mfGARCH_0.2.1.tar.gz
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mfGARCH.pdf |mfGARCH.html✨
mfGARCH/json (API)

Peer review:

Bug tracker:https://github.com/onnokleen/mfgarch/issues

On CRAN:

5 exports 59 stars 3.30 score 9 dependencies 12 scripts 353 downloads

Last updated 2 years agofrom:3de3314dd7. Checks:OK: 9. Indexed: yes.

Exports:fit_mfgarchplot_weighting_schemesimulate_mfgarchsimulate_mfgarch_diffusionsimulate_mfgarch_rv_dependent

Dependencies:digestgenericslatticemaxLikmiscToolsnumDerivRcppsandwichzoo