rumidas (version 0.1.3)

GM_2M_cond_vol_no_skew: GARCH-MIDAS-2M conditional volatility (without skewness)

Description

Obtains the conditional volatility of the GARCH-MIDAS with two low-frequency variables. For details, see engle_ghysels_sohn_2013;textualrumidas and conrad_lock_2015;textualrumidas.

Usage

GM_2M_cond_vol_no_skew(
  param,
  daily_ret,
  mv_m_1,
  mv_m_2,
  K_1,
  K_2,
  lag_fun = "Beta"
)

Value

The resulting vector is the conditional volatility for each \(i,t\).

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{
est_val<-c(alpha=0.01,beta=0.8,m=0,theta_1=0.1,w2_1=2,theta_2=0.1,w2_2=2)
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(GM_2M_cond_vol_no_skew(est_val,r_t,mv_m_1,mv_m_2,K_1=12,K_2=24))
# }