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 (2018, <doi:10.2139/ssrn.2752354>). 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.
|Author||Onno Kleen [aut, cre] (<https://orcid.org/0000-0003-4731-4640>)|
|Maintainer||Onno Kleen <firstname.lastname@example.org>|
|License||MIT + file LICENSE|
|Package repository||View on CRAN|
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