indpro

<p>Monthly data on the U.S. Industrial Production index (IP, index 2012=100, seasonally adjusted) collected from the
Federal Reserve Economic Data (FRED) archive. The IP has been used as MIDAS term in different contributions
(see, for instance, engle_ghysels_sohn_2013;textualrumidas, conrad_lock_2015;textualrumidas, and
amendola_candila_scognamillo_2017;textualrumidas).</p>

datasets

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

indpro function

<p>An object of class <code>"xts"</code>.</p>

indpro: Monthly U.S. Industrial Production

Description

Usage

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Examples