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>) 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: | 0.1.1 |
| Depends: | R (≥ 4.0.0), maxLik (≥ 1.3-8) |
| Imports: | highfrequency (≥ 0.6.5), 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: | 2021-02-01 |
| Author: | Vincenzo Candila [aut, cre] |
| Maintainer: | Vincenzo Candila <vincenzo.candila at uniroma1.it> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Citation: | rumidas citation info |
| Materials: | NEWS |
| CRAN checks: | rumidas results |
| Reference manual: | rumidas.pdf |
| Package source: | rumidas_0.1.1.tar.gz |
| Windows binaries: | r-devel: rumidas_0.1.1.zip, r-release: rumidas_0.1.1.zip, r-oldrel: not available |
| macOS binaries: | r-release: rumidas_0.1.1.tgz, r-oldrel: not available |
| Old sources: | rumidas archive |
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