rumidas (version 0.1.3)

DAGM_2M_long_run: DAGM-2M (daily) long-run volatility (with skewness)

Description

Obtains the long-run volatility of the DAGM with two MIDAS variables. For details, see amendola_candila_gallo:2019;textualrumidas.

Usage

DAGM_2M_long_run(param, daily_ret, mv_m_1, mv_m_2, K_1, K_2, lag_fun = "Beta")

Value

The resulting vector is an "xts" object representing the long-run volatility.

Arguments

param

Vector of starting values.

daily_ret

Daily returns, which must be an "xts" object.

mv_m_1

first MIDAS variable already transformed into a matrix, through mv_into_mat function.

mv_m_2

second MIDAS variable already transformed into a matrix, through mv_into_mat function.

K_1

Number of (lagged) realizations of the first MIDAS variable to consider.

K_2

Number of (lagged) realizations of the second MIDAS variable to consider.

lag_fun

optional. Lag function to use. Valid choices are "Beta" (by default) and "Almon", for the Beta and Exponential Almon lag functions, respectively.

References

See Also

mv_into_mat.

Examples

# \donttest{
start_val<-c(0.01,0.80,0.05,0.2,0.1,1.1,0.4,1.1,0.5,1.1,0,1.1)
r_t<-sp500['2005/2010']
mv_m_1<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
mv_m_2<-mv_into_mat(r_t,diff(indpro),K=24,"monthly")
head(DAGM_2M_long_run(start_val,r_t,mv_m_1,mv_m_2,K_1=12,K_2=24))
# }