rumidas (version 0.1.3)

GM_long_run_vol: GARCH-MIDAS (daily) long-run (with skewness)

Description

Obtains the estimated daily long-run volatility for the GARCH-MIDAS model, with an asymmetric term linked to past negative returns. For details, see engle_ghysels_sohn_2013;textualrumidas and conrad_lock_2015;textualrumidas.

Usage

GM_long_run_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.

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(alpha=0.01,beta=0.8,gamma=0.05,m=2,theta=0.1,w2=2)
r_t<-sp500['/2010']
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
head(GM_long_run_vol(est_val,r_t,mv_m,K=12))
# }