rumidas (version 0.1.3)

DAGM_X_long_run_vol: DAGM-X (daily) long-run volatility (with skewness)

Description

Obtains the daily long-run volatility for the DAGM-X, with an asymmetric term linked to past negative returns. For details, see amendola_candila_gallo:2019;textualrumidas.

Usage

DAGM_X_long_run_vol(param, daily_ret, X, mv_m, K, lag_fun = "Beta")

Value

The resulting vector is an "xts" object representing the conditional volatility.

Arguments

param

Vector of estimated values. It must be a eight- or nine- dimensional vector. See the examples below.

daily_ret

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

X

Additional "X" variable, which must be an "xts" object. Morever, "X" must be observed for the same days of daily_ret.

mv_m

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

K

Number of (lagged) realizations of the 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{
est_val<-c(0.01,0.80,0.05,0.05,0,0.1,1.1,-0.3,1.1)
r_t<-sp500['/2010']
X<-rv5['/2010']^0.5
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
head(DAGM_X_long_run_vol(est_val,r_t,X,mv_m,K=12))
# }