mfGARCH: Mixed-Frequency GARCH Models
Version 0.1.2

Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, ) and related statistical inference, accompanying the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" by Conrad, Kleen (2018, Working Paper). The GARCH-MIDAS model decomposes the conditional variance of (daily) stock returns into a short- and long-term component, where the latter may depend on an exogenous covariate sampled at a lower frequency.

Getting started

Package details

AuthorOnno Kleen [aut, cre]
Date of publication2018-02-19 10:27:25 UTC
MaintainerOnno Kleen <[email protected]>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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mfGARCH documentation built on Feb. 19, 2018, 5:01 p.m.