MEM_MIDAS_X_pred

Predicts the dependent variable, usually the realized volatility, for the MEM-MIDAS-X, with an asymmetric term linked to past negative returns and
an additional X part (for instance, the VIX).

internal

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

MEM_MIDAS_X_pred function

<dl><dt>param</dt>
<dd>Vector of starting values</dd>
<dt>x</dt>
<dd>Dependent variable, usually the realized volatility. It must be positive and "xts" object</dd>
<dt>daily_ret</dt>
<dd>Daily returns, which must be an "xts" object, and with the same length of x</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>z</dt>
<dd>Additional daily variable which must be an "xts" object, and with the same length of x</dd></dl>

Arguments

MEM-MIDAS-X one-step-ahead predictions (with skewness parameter) — MEM_MIDAS_X_pred

<dl>

<dt>param</dt>
<dd>Vector of starting values</dd>


<dt>x</dt>
<dd>Dependent variable, usually the realized volatility. It must be positive and "xts" object</dd>


<dt>daily_ret</dt>
<dd>Daily returns, which must be an "xts" object, and with the same length of x</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>z</dt>
<dd>Additional daily variable which must be an "xts" object, and with the same length of x</dd>

</dl>

MEM_MIDAS_X_pred: MEM-MIDAS-X one-step-ahead predictions (with skewness parameter)

Description

Usage

Value

Arguments

References

See Also