UnifiedEst: Unified GARCH-Ito Models

In GARCHIto: Class of GARCH-Ito Models

Description

Estimate model parameters for the Unified GARCH-Ito Model.

Usage

UnifiedEst(RV = RV, return = return)

Arguments

RV	Time series of daily realized volatilities.
return	Time series of daily log returns.

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

Kim, D. & Wang, Y. (2016). Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data. Journal of Econometrics. 194:220-230.

Examples

sample_data
UnifiedEst(sample_data$RV, sample_data$return)

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