rumidas (version 0.1.3)

DAGM_cond_vol: DAGM conditional volatility (with skewness)

Description

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

Usage

DAGM_cond_vol(param, daily_ret, 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.

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{
# estimated volatility 
est_val<-c(0.01,0.80,0.05,0,0.1,1.1,-0.3,1.1)
r_t<-sp500['2005/2010']
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
vol<-DAGM_cond_vol(est_val,r_t,mv_m,K=12)
head(vol)
# }