RealizedEst: Realized GARCH-Ito Model

In GARCHIto: Class of GARCH-Ito Models

Description

Estimate model parameters for the Realized GARCH-Ito Model

Usage

RealizedEst(RV = RV, JV = NULL)

Arguments

RV	Time series of daily realized volatilities.
JV	Time series of daily jump variations,

Value

Estimated parameter values and daily conditional volatilities:

coefficients

parameter estimates of the realized GARCH-Ito model

sigma

daily conditional volatility estimates of the realized GARCH-Ito model

pred

one-step-ahead predicted volatility value

References

Song, X., Kim, D., Yuan, H., Cui, X., Lu, Z., Zhou, Y., & Wang, Y. (2020). Volatility Analysis with Realized GARCH-Ito Models. Journal of Econometrics, in press.

Examples

sample_data
RealizedEst(sample_data$RV)
RealizedEst(sample_data$BPV, sample_data$JV)

GARCHIto documentation built on Sept. 14, 2020, 5:06 p.m.