DAGM_long_run_vol_no_skew

Obtains the daily long-run volatility for the DAGM.
For details, see amendola_candila_gallo:2019;textualrumidas.

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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>, Engle and Gallo (2006) <doi:10.1016/j.jeconom.2005.01.018>, and Amendola et al. (2024) <doi:10.1016/j.seps.2023.101764>) 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.

Vincenzo Candila

rumidas

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

DAGM_long_run_vol_no_skew function

<dl><dt>param</dt>
<dd>Vector of estimated values. It must be a seven- or eight- dimensional vector. See the examples below.</dd>
<dt>daily_ret</dt>
<dd>Daily returns, which must be an "xts" object.</dd>
<dt>mv_m</dt>
<dd>MIDAS variable already transformed into a matrix, through <code>mv_into_mat</code> function.</dd>
<dt>K</dt>
<dd>Number of (lagged) realizations of the MIDAS variable to consider.</dd>
<dt>lag_fun</dt>
<dd>optional. Lag function to use. Valid choices are "Beta" (by default) and "Almon",
for the Beta and Exponential Almon lag functions, respectively.</dd></dl>

Arguments

DAGM (daily) long-run volatility (no skewness) — DAGM_long_run_vol_no_skew

<dl>

<dt>param</dt>
<dd>Vector of estimated values. It must be a seven- or eight- dimensional vector. See the examples below.</dd>


<dt>daily_ret</dt>
<dd>Daily returns, which must be an "xts" object.</dd>


<dt>mv_m</dt>
<dd>MIDAS variable already transformed into a matrix, through <code>mv_into_mat</code> function.</dd>


<dt>K</dt>
<dd>Number of (lagged) realizations of the MIDAS variable to consider.</dd>


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

</dl>

DAGM_long_run_vol_no_skew: DAGM (daily) long-run volatility (no skewness)

Description

Usage

Value

Arguments

References

See Also

Examples