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mfGARCH: Mixed-Frequency GARCH Models
Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, <doi:10.1162/REST_a_00300>) and related statistical inference, accompanying the paper "Two are better than one: Volatility forecasting using multiplicative component GARCH models" by Conrad and Kleen (2020, <doi:10.1002/jae.2742>). 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
Browse package contents
Package details |
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| Author | Onno Kleen [aut, cre] (<https://orcid.org/0000-0003-4731-4640>) |
| Maintainer | Onno Kleen <r@onnokleen.de> |
| License | MIT + file LICENSE |
| Version | 0.2.1 |
| URL | https://github.com/onnokleen/mfGARCH/ |
| Package repository | View on CRAN |
| Installation |
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