Package: mfGARCH
Title: Mixed-Frequency GARCH Models
Version: 0.2.2
Authors@R: c(
    person("Onno", "Kleen", email = "r@onnokleen.de", role = c("aut", "cre"), comment = c(ORCID = "0000-0003-4731-4640"))
    )
Description: 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.
Depends: R (>= 3.3.0)
License: MIT + file LICENSE
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.3.3
Imports: Rcpp, graphics, stats, numDeriv, zoo, maxLik
LinkingTo: Rcpp
URL: https://github.com/onnokleen/mfGARCH/
BugReports: https://github.com/onnokleen/mfGARCH/issues
Suggests: testthat, dplyr, ggplot2, covr, rmarkdown
Repository: https://onnokleen.r-universe.dev
Date/Publication: 2026-01-13 14:43:46 UTC
RemoteUrl: https://github.com/onnokleen/mfgarch
RemoteRef: HEAD
RemoteSha: cb76089ae4875a7b25de6196e51dc9644a793a9a
NeedsCompilation: yes
Packaged: 2026-07-12 06:41:55 UTC; root
Author: Onno Kleen [aut, cre] (ORCID: <https://orcid.org/0000-0003-4731-4640>)
Maintainer: Onno Kleen <r@onnokleen.de>