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rumidas (version 0.1.3)

Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS

Description

Adds the MIxing-Data Sampling (MIDAS, Ghysels et al. (2007) ) components to a variety of GARCH and MEM (Engle (2002) , Engle and Gallo (2006) , and Amendola et al. (2024) ) 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.

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Version

Install

install.packages('rumidas')

Monthly Downloads

362

Version

0.1.3

License

GPL-3

Maintainer

Vincenzo Candila

Last Published

March 18th, 2025

Functions in rumidas (0.1.3)

DAGM_long_run_vol_no_skew

DAGM (daily) long-run volatility (no skewness)
DAGM_cond_vol

DAGM conditional volatility (with skewness)
DAGM_loglik_no_skew

DAGM log-likelihood (without skewness)
GM_2M_cond_vol_no_skew

GARCH-MIDAS-2M conditional volatility (without skewness)
GM_2M_cond_vol

GARCH-MIDAS-2M conditional volatility (with skewness)
GM_2M_long_run_vol

GARCH-MIDAS-2M long-run volatility (with skewness)
GM_X_cond_vol

GARCH-MIDAS-X conditional volatility (with skewness)
DAGM_X_long_run_vol_no_skew

DAGM-X (daily) long-run volatility (no skewness)
GM_loglik_no_skew

GARCH-MIDAS log-likelihood (no skewness)
GM_2M_loglik_no_skew

GARCH-MIDAS-2M log-likelihood (without skewness)
GM_loglik

GARCH-MIDAS log-likelihood (with skewness)
GM_2M_loglik

GARCH-MIDAS-2M log-likelihood (with skewness)
GM_X_long_run_vol_no_skew

GARCH-MIDAS-X (daily) long-run volatility (without skewness)
MEM_MIDAS_X_loglik

MEM-MIDAS-X log-likelihood (with skewness parameter)
GM_X_loglik_no_skew

GARCH-MIDAS-X log-likelihood (no skewness)
GM_long_run_vol

GARCH-MIDAS (daily) long-run (with skewness)
GM_long_run_vol_no_skew

GARCH-MIDAS (daily) long-run volatility (without skewness)
GM_X_loglik

GARCH-MIDAS-X log-likelihood (with skewness)
MEM_MIDAS_pred

MEM-MIDAS one-step-ahead predictions (with skewness parameter)
GM_X_long_run_vol

GARCH-MIDAS-X (daily) long-run (with skewness)
MEM_MIDAS_X_loglik_no_skew

MEM-MIDAS-X log-likelihood (no skewness parameter)
MEM_MIDAS_pred_no_skew

MEM-MIDAS one-step-ahead predictions (no skewness parameter)
MEM_QMLE_sd

Standard errors for the Quasi Maximum Likelihood estimator of the MEM-based models
MEM_MIDAS_loglik

MEM-MIDAS log-likelihood (with skewness parameter)
MEM_X_loglik

MEM-X log-likelihood (with skewness parameter)
GM_X_cond_vol_no_skew

GARCH-MIDAS-X conditional volatility (without skewness)
MEM_MIDAS_X_lr_pred

MEM-MIDAS-X long-run one-step-ahead predictions (with skewness parameter)
MEM_X_pred_no_skew

MEM-X one-step-ahead predictions (no skewness parameter)
mv_into_mat

MIDAS variable matrix transformation
Inf_criteria

Information Criteria
LF_f

Loss functions
summary.rumidas

Summary method for 'rumidas' class
MEM_MIDAS_lr_pred_no_skew

MEM-MIDAS long-run one-step-ahead predictions (no skewness parameter)
MEM_MIDAS_loglik_no_skew

MEM-MIDAS log-likelihood (no skewness parameter)
MEM_pred

MEM one-step-ahead predictions (with skewness parameter)
MEM_loglik_no_skew

MEM log-likelihood (no skewness parameter)
MEM_MIDAS_X_lr_pred_no_skew

MEM-MIDAS-X long-run one-step-ahead predictions (no skewness parameter)
MEM_MIDAS_lr_pred

MEM-MIDAS long-run one-step-ahead predictions (with skewness parameter)
indpro

Monthly U.S. Industrial Production
MEM_loglik

MEM log-likelihood (with skewness parameter)
GM_cond_vol

GARCH-MIDAS conditional volatility (with skewness)
GM_2M_long_run_vol_no_skew

GARCH-MIDAS-2M long-run volatility (without skewness)
sum_X_f

Summation function for the multi-step-ahead predictions of the GARCH--MIDAS models with the '--X' part.
GM_cond_vol_no_skew

GARCH-MIDAS conditional volatility (without skewness)
MEM_MIDAS_X_pred

MEM-MIDAS-X one-step-ahead predictions (with skewness parameter)
multi_step_ahead_pred

Multi--step--ahead predictions of the GARCH--MIDAS--based models with and without the '--X' part.
MEM_MIDAS_X_pred_no_skew

MEM-MIDAS-X one-step-ahead predictions (no skewness parameter)
sp500

S&P 500 daily log-returns
QMLE_sd

Standard errors for the Quasi Maximum Likelihood estimator of the GARCH-MIDAS-based models
MEM_pred_no_skew

MEM one-step-ahead predictions (no skewness parameter)
ugmfit

Methods for obtaining (and evaluating) a variety of GARCH-MIDAS-based models
MEM_X_pred

MEM-X one-step-ahead predictions (with skewness parameter)
MEM_X_loglik_no_skew

MEM-X log-likelihood (no skewness parameter)
umemfit

Methods for obtaining (and evaluating) a variety of MEM(-MIDAS)-based models
rv5

S&P 500 realized variance at 5-minutes
vix

VIX daily data
exp_almon

Exponential Almon Lag
beta_function

Beta function
print.rumidas

Print method for 'rumidas' class
DAGM_2M_loglik_no_skew

DAGM-2M log-likelihood (without skewness)
DAGM_X_cond_vol_no_skew

DAGM-X conditional volatility (no skewness)
DAGM_X_long_run_vol

DAGM-X (daily) long-run volatility (with skewness)
DAGM_2M_loglik

DAGM-2M log-likelihood (with skewness)
DAGM_X_cond_vol

DAGM-X conditional volatility (with skewness)
DAGM_2M_long_run

DAGM-2M (daily) long-run volatility (with skewness)
DAGM_cond_vol_no_skew

DAGM conditional volatility (no skewness)
DAGM_2M_long_run_no_skew

DAGM-2M (daily) long-run volatility (no skewness)
DAGM_long_run_vol

DAGM (daily) long-run volatility (with skewness)
DAGM_X_loglik

DAGM-X log-likelihood (with skewness)
DAGM_2M_cond_vol

DAGM-2M conditional volatility (with skewness)
DAGM_2M_cond_vol_no_skew

DAGM-2M conditional volatility (no skewness)
DAGM_X_loglik_no_skew

DAGM-X log-likelihood (no skewness)
DAGM_loglik

DAGM log-likelihood (with skewness)