Description Usage Arguments Value References Examples
Estimate model parameters for the Unified GARCH-Ito Model.
UnifiedEst(RV = RV, return = return)
Time series of daily realized volatilities.
Time series of daily log returns.
Estimated parameter values and daily conditional volatilities:
parameter estimates of the realized GARCH-Ito model
daily conditional volatility estimates of the realized GARCH-Ito model
one-step-ahead predicted volatility value
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.
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