simulate_mfgarch: This function simulates a GARCH-MIDAS model. Innovations can...
In mfGARCH: Mixed-Frequency GARCH Models
Description
Usage
Arguments
Examples
View source: R/simulate_mfgarch.R
Description
This function simulates a GARCH-MIDAS model. Innovations can follow a standard normal or student-t distribution.
Usage
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simulate_mfgarch(
n.days,
mu,
alpha,
beta,
gamma,
m,
theta,
w1 = 1,
w2,
K,
psi,
sigma.psi,
low.freq = 1,
n.intraday = 288,
student.t = NULL,
corr = 0
)
Arguments
n.days
number of days
mu
mu
alpha
alpha
beta
beta
gamma
gamma
m
m
theta
theta
w1
w1
w2
w2
K
K
psi
psi
sigma.psi
sigma.psi
low.freq
number of days per low-frequency period
n.intraday
number of maximum intraday returns
student.t
either NULL or degrees of freedom
corr
correlation between innovations (should only be used for daily tau)
Examples
1
2
simulate_mfgarch(n.days = 200, mu = 0, alpha = 0.06, beta = 0.92, gamma = 0, m = 0,
theta = 0.1, w1 = 1, w2 = 3, K = 12, psi = 0.98, sigma.psi = 0.1, low.freq = 10)
Example output
date return covariate low_freq tau g real_vol
361 361 0.06587990 -0.3099398 37 0.9666322 1.1225745 1.3496378
362 362 -1.84648171 -0.3099398 37 0.9666322 1.0530380 1.0184340
363 363 -0.66121163 -0.3099398 37 0.9666322 1.2004263 1.2267902
364 364 0.52319467 -0.3099398 37 0.9666322 1.1515298 1.3405690
365 365 -3.49441787 -0.3099398 37 0.9666322 1.0963983 1.0525271
366 366 -1.64509206 -0.3099398 37 0.9666322 1.7866349 1.5026057
367 367 -1.06675585 -0.3099398 37 0.9666322 1.8316891 1.5176328
368 368 1.27654747 -0.3099398 37 0.9666322 1.7757890 1.5906283
369 369 -0.36292399 -0.3099398 37 0.9666322 1.7548754 1.9889423
370 370 2.05666624 -0.3099398 37 0.9666322 1.6426610 1.3655906
371 371 -4.17445986 -0.3364420 38 0.9673245 1.7938015 1.7292091
372 372 2.31090100 -0.3364420 38 0.9673245 2.7511828 2.1822054
373 373 0.80394382 -0.3364420 38 0.9673245 2.8823274 2.7224663
374 374 1.35541648 -0.3364420 38 0.9673245 2.7118307 2.4000998
375 375 0.63513138 -0.3364420 38 0.9673245 2.6288369 2.4176019
376 376 -0.25389810 -0.3364420 38 0.9673245 2.4635510 2.2893167
377 377 1.40604565 -0.3364420 38 0.9673245 2.2904655 2.0075775
378 378 -0.37081023 -0.3364420 38 0.9673245 2.2498529 2.0983379
379 379 2.30292782 -0.3364420 38 0.9673245 2.0983934 1.9638509
380 380 -0.87209717 -0.3364420 38 0.9673245 2.2794793 1.9797488
381 381 1.26161579 -0.2832963 39 0.9674309 2.1642956 2.2039663
382 382 0.22385488 -0.2832963 39 0.9674309 2.1098675 2.1023749
383 383 0.46032386 -0.2832963 39 0.9674309 1.9641860 1.7774786
384 384 1.67467168 -0.2832963 39 0.9674309 1.8401930 1.5692052
385 385 -2.96508294 -0.2832963 39 0.9674309 1.8869141 1.5066603
386 386 -0.54392515 -0.2832963 39 0.9674309 2.3012227 1.8765208
387 387 0.66147085 -0.2832963 39 0.9674309 2.1554737 2.2323999
388 388 0.47761119 -0.2832963 39 0.9674309 2.0301723 2.0785873
389 389 1.00279227 -0.2832963 39 0.9674309 1.9019060 1.6060148
390 390 -2.33496901 -0.2832963 39 0.9674309 1.8321203 1.6783685
391 391 0.76862717 -0.3713307 40 0.9686871 2.0436883 1.8332438
392 392 0.28793610 -0.3713307 40 0.9686871 1.9367864 1.9839359
393 393 -1.33908958 -0.3713307 40 0.9686871 1.8069787 1.5319193
394 394 1.93360189 -0.3713307 40 0.9686871 1.7934879 1.6511053
395 395 -2.36882009 -0.3713307 40 0.9686871 1.9015893 1.6993798
396 396 -0.68378525 -0.3713307 40 0.9686871 2.1170238 2.0740969
397 397 -1.28417078 -0.3713307 40 0.9686871 1.9966225 2.0247007
398 398 1.05070372 -0.3713307 40 0.9686871 1.9590368 1.9064902
399 399 0.51192313 -0.3713307 40 0.9686871 1.8906937 1.6662563
400 400 1.23213207 -0.3713307 40 0.9686871 1.7756704 1.7411307
401 401 0.51179716 -0.4585414 41 0.9678165 1.7476502 1.4608565
402 402 1.18423179 -0.4585414 41 0.9678165 1.6440770 1.3124131
403 403 -1.67049468 -0.4585414 41 0.9678165 1.6194933 1.3476537
404 404 0.36524159 -0.4585414 41 0.9678165 1.6829347 1.5191825
405 405 0.78194346 -0.4585414 41 0.9678165 1.5765702 1.3233663
406 406 -3.29070626 -0.4585414 41 0.9678165 1.5083507 1.5039812
407 407 -0.91273820 -0.4585414 41 0.9678165 2.0790132 2.1000516
408 408 1.37529692 -0.4585414 41 0.9678165 1.9843398 1.8152521
409 409 -1.37593078 -0.4585414 41 0.9678165 1.9628530 1.7971666
410 410 -0.50338634 -0.4585414 41 0.9678165 1.9431932 1.9524064
411 411 1.61307567 -0.4249884 42 0.9651253 1.8234472 1.4098836
412 412 -1.29558753 -0.4249884 42 0.9651253 1.8593336 1.8698568
413 413 0.33310712 -0.4249884 42 0.9651253 1.8349390 1.8820355
414 414 0.36971847 -0.4249884 42 0.9651253 1.7150421 1.5375693
415 415 -1.61137467 -0.4249884 42 0.9651253 1.6063366 1.7673884
416 416 0.80509183 -0.4249884 42 0.9651253 1.6592509 1.5332953
417 417 1.49997866 -0.4249884 42 0.9651253 1.5868065 1.6262976
418 418 -0.31351569 -0.4249884 42 0.9651253 1.6197362 1.5362062
419 419 0.48042507 -0.4249884 42 0.9651253 1.5162679 1.3377777
420 420 0.95261790 -0.4249884 42 0.9651253 1.4293154 1.4024453
421 421 -0.15837495 -0.2944352 43 0.9635064 1.3913865 1.3816068
422 422 -0.71531827 -0.2944352 43 0.9635064 1.3016376 1.2015751
423 423 -0.36799581 -0.2944352 43 0.9635064 1.2493702 1.1983276
424 424 2.22089263 -0.2944352 43 0.9635064 1.1778536 1.2441750
425 425 0.02866817 -0.2944352 43 0.9635064 1.4107762 1.3556259
426 426 -0.10768392 -0.2944352 43 0.9635064 1.3179653 1.1182867
427 427 1.20929583 -0.2944352 43 0.9635064 1.2332501 1.1947902
428 428 0.50000565 -0.2944352 43 0.9635064 1.2456573 1.1591436
429 429 -0.87433300 -0.2944352 43 0.9635064 1.1815732 1.0342524
430 430 -0.79642171 -0.2944352 43 0.9635064 1.1546521 1.2548180
431 431 -0.59550796 -0.2845923 44 0.9649072 1.1217786 1.0473448
432 432 0.53438740 -0.2845923 44 0.9649072 1.0740880 1.0123305
433 433 0.20883697 -0.2845923 44 0.9649072 1.0259183 1.0394874
434 434 0.31890365 -0.2845923 44 0.9649072 0.9665568 0.8807917
435 435 -0.74017222 -0.2845923 44 0.9649072 0.9155561 0.9057849
436 436 0.88414074 -0.2845923 44 0.9649072 0.8963784 0.7947959
437 437 1.98495401 -0.2845923 44 0.9649072 0.8932762 0.9888311
438 438 -2.47962636 -0.2845923 44 0.9649072 1.0868144 1.1684062
439 439 0.87499684 -0.2845923 44 0.9649072 1.4021991 1.3447497
440 440 -0.24824868 -0.2845923 44 0.9649072 1.3576310 1.4156817
441 441 -1.15051306 -0.2724539 45 0.9663129 1.2728527 1.0700462
442 442 1.09231558 -0.2724539 45 0.9663129 1.2732140 1.2192859
443 443 -0.27806925 -0.2724539 45 0.9663129 1.2654418 1.0770314
444 444 -1.22300567 -0.2724539 45 0.9663129 1.1890075 1.2223109
445 445 -1.02042262 -0.2724539 45 0.9663129 1.2067601 1.0602826
446 446 -1.00038692 -0.2724539 45 0.9663129 1.1948731 1.1426948
447 447 -0.78135938 -0.2724539 45 0.9663129 1.1814230 1.0605172
448 448 -1.16018084 -0.2724539 45 0.9663129 1.1448175 1.0242077
449 449 -0.11560192 -0.2724539 45 0.9663129 1.1568087 1.0706129
450 450 -0.35374888 -0.2724539 45 0.9663129 1.0850938 1.1441090
451 451 -1.57327959 -0.3393463 46 0.9677840 1.0260563 1.0010855
452 452 1.25198028 -0.3393463 46 0.9677840 1.1174281 1.1544965
453 453 0.58534710 -0.3393463 46 0.9677840 1.1452118 1.0307135
454 454 -2.38964930 -0.3393463 46 0.9677840 1.0948371 1.2462079
455 455 -0.56998184 -0.3393463 46 0.9677840 1.3812810 1.0382908
456 456 -1.83743469 -0.3393463 46 0.9677840 1.3109202 1.2266951
457 457 1.36429913 -0.3393463 46 0.9677840 1.4353598 1.4836161
458 458 0.77782282 -0.3393463 46 0.9677840 1.4559273 1.4650169
459 459 -1.07790831 -0.3393463 46 0.9677840 1.3969620 1.4950190
460 460 -0.03723131 -0.3393463 46 0.9677840 1.3772389 1.2462685
461 461 0.19126262 -0.5729172 47 0.9676176 1.2871457 1.3044203
462 462 0.86937087 -0.5729172 47 0.9676176 1.2064424 1.1207462
463 463 -1.57825866 -0.5729172 47 0.9676176 1.1767930 1.1049105
464 464 -0.65828002 -0.5729172 47 0.9676176 1.2571052 1.3413916
465 465 0.62750389 -0.5729172 47 0.9676176 1.2034069 1.1923296
466 466 1.04650902 -0.5729172 47 0.9676176 1.1515507 1.0682794
467 467 -0.59661889 -0.5729172 47 0.9676176 1.1473366 1.2447508
468 468 1.74327893 -0.5729172 47 0.9676176 1.0976216 1.1854717
469 469 -0.20105655 -0.5729172 47 0.9676176 1.2182554 1.0962417
470 470 0.90801428 -0.5729172 47 0.9676176 1.1433016 0.9383377
471 471 1.94371785 -0.7187650 48 0.9625002 1.1229624 1.1988811
472 472 -0.40194746 -0.7187650 48 0.9625002 1.2886395 1.1820144
473 473 0.64943309 -0.7187650 48 0.9625002 1.2156197 1.0668101
474 474 -0.94103055 -0.7187650 48 0.9625002 1.1646619 1.1159913
475 475 -1.61041875 -0.7187650 48 0.9625002 1.1466913 1.2806893
476 476 1.71224134 -0.7187650 48 0.9625002 1.2366255 1.2259350
477 477 -2.04031014 -0.7187650 48 0.9625002 1.3404552 1.4360484
478 478 1.21472332 -0.7187650 48 0.9625002 1.5127220 1.5928223
479 479 -0.05762118 -0.7187650 48 0.9625002 1.5036867 1.4112445
480 480 0.82257225 -0.7187650 48 0.9625002 1.4035988 1.3051878
481 481 0.02617568 -0.7226180 49 0.9551331 1.3534901 1.3400475
482 482 1.33868915 -0.7226180 49 0.9551331 1.2652539 1.2899341
483 483 -2.00536197 -0.7226180 49 0.9551331 1.2966099 1.3249074
484 484 -0.88394226 -0.7226180 49 0.9551331 1.4655041 1.4964995
485 485 -1.89897247 -0.7226180 49 0.9551331 1.4173472 1.4557430
486 486 -1.43278674 -0.7226180 49 0.9551331 1.5504889 1.4018040
487 487 0.67531724 -0.7226180 49 0.9551331 1.5754084 1.4374792
488 488 -1.40404835 -0.7226180 49 0.9551331 1.4980243 1.2715845
489 489 -0.44999564 -0.7226180 49 0.9551331 1.5220197 1.3998753
490 490 1.07636692 -0.7226180 49 0.9551331 1.4329786 1.4545448
491 491 -1.19178426 -0.7085880 50 0.9489549 1.4111196 1.2562376
492 492 -1.83966921 -0.7085880 50 0.9489549 1.4080352 1.3689747
493 493 -1.36630651 -0.7085880 50 0.9489549 1.5293782 1.3677183
494 494 -0.38439754 -0.7085880 50 0.9489549 1.5450606 1.4542999
495 495 -1.10454957 -0.7085880 50 0.9489549 1.4507983 1.2692668
496 496 1.24017066 -0.7085880 50 0.9489549 1.4318738 1.3610979
497 497 -2.87491293 -0.7085880 50 0.9489549 1.4345692 1.2906967
498 498 1.07108924 -0.7085880 50 0.9489549 1.8623864 1.5603374
499 499 1.23732729 -0.7085880 50 0.9489549 1.8059321 1.6212460
500 500 -0.07565640 -0.7085880 50 0.9489549 1.7782574 1.5208621
501 501 1.07588647 -0.7046274 51 0.9442125 1.6563587 1.4531719
502 502 -0.54367934 -0.7046274 51 0.9442125 1.6174054 1.3879752
503 503 0.43287935 -0.7046274 51 0.9442125 1.5267961 1.4525397
504 504 2.30594513 -0.7046274 51 0.9442125 1.4365597 1.3102160
505 505 -0.04002040 -0.7046274 51 0.9442125 1.6795281 1.5907933
506 506 0.18901568 -0.7046274 51 0.9442125 1.5652677 1.5347914
507 507 1.80972935 -0.7046274 51 0.9442125 1.4623165 1.5268677
508 508 -1.92356672 -0.7046274 51 0.9442125 1.5734488 1.4829164
509 509 0.98832245 -0.7046274 51 0.9442125 1.7026964 1.5538962
510 510 0.48607640 -0.7046274 51 0.9442125 1.6485502 1.6902397
511 511 -0.23123327 -0.6152416 52 0.9405126 1.5516800 1.5921909
512 512 -0.12381912 -0.6152416 52 0.9405126 1.4509567 1.3597640
513 513 -0.65753867 -0.6152416 52 0.9405126 1.3558582 1.4868450
514 514 1.59965579 -0.6152416 52 0.9405126 1.2949717 1.2224397
515 515 -0.67966876 -0.6152416 52 0.9405126 1.3746189 1.4781286
516 516 -1.31843029 -0.6152416 52 0.9405126 1.3141195 1.0683516
517 517 1.29144054 -0.6152416 52 0.9405126 1.3398821 1.4198788
518 518 -0.91518575 -0.6152416 52 0.9405126 1.3590900 1.3403932
519 519 1.03706457 -0.6152416 52 0.9405126 1.3237953 1.2434055
520 520 3.23381446 -0.6152416 52 0.9405126 1.3065034 1.2803224
521 521 0.69474560 -0.5398510 53 0.9394912 1.8891229 2.1398377
522 522 -1.88848260 -0.5398510 53 0.9394912 1.7888185 1.8602280
523 523 1.04203683 -0.5398510 53 0.9394912 1.8934767 1.8667594
524 524 2.47728069 -0.5398510 53 0.9394912 1.8313451 1.6170218
525 525 -0.88962103 -0.5398510 53 0.9394912 2.0967679 2.0581461
526 526 -0.08959623 -0.5398510 53 0.9394912 1.9995704 2.0233085
527 527 1.02378113 -0.5398510 53 0.9394912 1.8601174 1.7738870
528 528 0.72750232 -0.5398510 53 0.9394912 1.7982460 1.7006335
529 529 0.33668598 -0.5398510 53 0.9394912 1.7081872 1.7047316
530 530 -1.21017321 -0.5398510 53 0.9394912 1.5987717 1.4502733
531 531 1.34490418 -0.4314779 54 0.9404412 1.5844005 1.4773470
532 532 1.21109485 -0.4314779 54 0.9404412 1.5930476 1.5943726
533 533 1.38856356 -0.4314779 54 0.9404412 1.5791822 1.7109118
534 534 0.36855928 -0.4314779 54 0.9404412 1.5958607 1.4214345
535 535 1.08021630 -0.4314779 54 0.9404412 1.4968581 1.2971207
536 536 -0.43451168 -0.4314779 54 0.9404412 1.4715554 1.4301942
537 537 -1.46919369 -0.4314779 54 0.9404412 1.3858764 1.3140195
538 538 1.10036432 -0.4314779 54 0.9404412 1.4327202 1.1185933
539 539 -1.00401156 -0.4314779 54 0.9404412 1.4153515 1.4064397
540 540 -0.25527920 -0.4314779 54 0.9404412 1.3864362 1.3281409
541 541 2.41527627 -0.3803032 55 0.9437480 1.2996789 1.3435137
542 542 -1.40336612 -0.3803032 55 0.9437480 1.5865807 1.6534384
543 543 -0.62389987 -0.3803032 55 0.9437480 1.6048637 1.3437231
544 544 -2.23418923 -0.3803032 55 0.9437480 1.5212218 1.5679911
545 545 -2.44659050 -0.3803032 55 0.9437480 1.7368715 1.6866853
546 546 -1.12251925 -0.3803032 55 0.9437480 1.9984771 1.9027595
547 547 -0.88582267 -0.3803032 55 0.9437480 1.9387082 1.9239144
548 548 1.01481898 -0.3803032 55 0.9437480 1.8534987 1.6152126
549 549 0.37480843 -0.3803032 55 0.9437480 1.7906934 1.6919426
550 550 -1.76737974 -0.3803032 55 0.9437480 1.6763692 1.4467037
551 551 0.22695737 -0.5692473 56 0.9478421 1.7608485 1.6510640
552 552 2.73721665 -0.5692473 56 0.9478421 1.6432413 1.5301441
553 553 0.43896672 -0.5692473 56 0.9478421 2.0060607 1.6202761
554 554 2.61893177 -0.5692473 56 0.9478421 1.8777735 1.9649142
555 555 0.55607432 -0.5692473 56 0.9478421 2.1817254 2.1922737
556 556 1.11925944 -0.5692473 56 0.9478421 2.0467615 1.6981228
557 557 1.31840911 -0.5692473 56 0.9478421 1.9823212 1.9721052
558 558 -2.07050385 -0.5692473 56 0.9478421 1.9537667 1.6049040
559 559 1.91671539 -0.5692473 56 0.9478421 2.0888388 1.9582190
560 560 1.41058198 -0.5692473 56 0.9478421 2.1742892 2.0656137
real_vol_half_hour real_vol_five_minutes_5_days
361 1.1816113 1.2581543
362 0.7248254 1.1804458
363 1.2350499 1.1997567
364 1.5429676 1.2410895
365 1.4277828 1.1975916
366 1.7352162 1.2281852
367 1.4465767 1.3280250
368 1.8600927 1.4007926
369 2.1347269 1.5304672
370 1.1464420 1.5930800
371 1.8044101 1.6384006
372 2.0167810 1.7713152
373 3.3037342 1.9976828
374 2.5433207 2.0799143
375 2.2079016 2.2903165
376 1.9939876 2.4023380
377 2.2389814 2.3674124
378 2.6600786 2.2425868
379 1.9553371 2.1553370
380 2.7850880 2.0677663
381 2.1296301 2.0506963
382 2.4129878 2.0696558
383 1.7090383 2.0054839
384 1.2546218 1.9265548
385 2.2865441 1.8319370
386 1.4187530 1.7664479
387 1.7559217 1.7924529
388 1.6792038 1.8526747
389 2.0064058 1.8600366
390 1.4898189 1.8943783
391 1.7768281 1.8857229
392 1.8033812 1.8360301
393 1.4176537 1.7266965
394 1.8476174 1.7357146
395 2.1476734 1.7399168
396 1.9188203 1.7880874
397 1.6462691 1.7962404
398 1.5839509 1.8711546
399 1.7882945 1.8741848
400 1.6765568 1.8825350
401 1.2799096 1.7598869
402 1.1934657 1.6174294
403 1.7313168 1.5056621
404 1.0916178 1.4762473
405 1.1444251 1.3926944
406 1.5612857 1.4013194
407 1.6668271 1.5588471
408 1.8767388 1.6523668
409 1.9467751 1.7079636
410 2.1955468 1.8337716
411 1.5082475 1.8149521
412 2.1070787 1.7689131
413 1.8382756 1.7822698
414 1.9812319 1.7303503
415 1.4749661 1.6933467
416 1.3372805 1.7180291
417 2.1403048 1.6693172
418 1.2880628 1.6001514
419 1.0613020 1.5601930
420 1.6195517 1.4872044
421 1.4156080 1.4568667
422 1.1178018 1.3719222
423 1.3994162 1.3043465
424 1.6629936 1.2856260
425 1.1401436 1.2762621
426 0.9441311 1.2235981
427 1.1323579 1.2222411
428 0.9456573 1.2144043
429 1.1444516 1.1724198
430 1.1719219 1.1522582
431 1.2187705 1.1380698
432 1.2761226 1.1015779
433 0.7207512 1.0776466
434 0.6758421 1.0469545
435 1.0113854 0.9771479
436 0.8005425 0.9266381
437 0.9608709 0.9219382
438 1.0933804 0.9477220
439 1.2856376 1.0405136
440 1.3756442 1.1424929
441 1.0741602 1.1975430
442 0.9947411 1.2436339
443 0.8586665 1.2253590
444 1.1759754 1.2008712
445 0.8285891 1.1297914
446 1.0336876 1.1443211
447 0.7338613 1.1125674
448 1.0778738 1.1020026
449 1.0896102 1.0716630
450 0.9694035 1.0884283
451 0.8110008 1.0601065
452 1.0342481 1.0789023
453 0.8437705 1.0802035
454 1.5768334 1.1153225
455 0.8250902 1.0941589
456 1.0010174 1.1392808
457 1.4647639 1.2051047
458 1.8068462 1.2919654
459 1.7332046 1.3417276
460 1.3292337 1.3833231
461 1.3723885 1.3988682
462 1.1508176 1.3262942
463 1.1767915 1.2542729
464 1.1754366 1.2235474
465 1.5959497 1.2127597
466 1.2564172 1.1655315
467 0.8007038 1.1903324
468 1.2202035 1.2064446
469 1.1262358 1.1574147
470 1.1111898 1.1066163
471 0.8593085 1.1327366
472 1.1570000 1.1201893
473 1.3931491 1.0964570
474 1.2546290 1.1004069
475 1.5610957 1.1688772
476 1.1238089 1.1742880
477 1.5339950 1.2250948
478 1.6738827 1.3302973
479 1.6815456 1.3893479
480 1.1834786 1.3942476
481 1.0455894 1.4170701
482 1.0963240 1.3878472
483 1.0995653 1.3342643
484 1.3980142 1.3513153
485 1.3464706 1.3814263
486 1.4017561 1.3937776
487 1.2465705 1.4232866
488 1.4637794 1.4126220
489 1.4514701 1.3932972
490 1.2711793 1.3930576
491 1.5811138 1.3639443
492 1.9452518 1.3502434
493 0.9279754 1.3694701
494 1.7316231 1.3803551
495 1.0082298 1.3432994
496 1.1998601 1.3642715
497 1.5542650 1.3486159
498 1.2571662 1.3871397
499 2.0236861 1.4205289
500 1.4422713 1.4708480
501 1.6983028 1.4892628
502 1.2018812 1.5087185
503 1.3267119 1.4871590
504 1.5169896 1.4249530
505 2.0401987 1.4389392
506 1.3003779 1.4552631
507 1.4100173 1.4830416
508 1.2209005 1.4891170
509 1.3794157 1.5378530
510 1.6830590 1.5577423
511 2.1143572 1.5692222
512 1.3887159 1.5358014
513 1.6335264 1.5365871
514 1.0534326 1.4702958
515 1.6649406 1.4278736
516 0.8531948 1.3231058
517 0.8954909 1.3351288
518 1.0460649 1.3058384
519 1.4809716 1.3100315
520 1.5708049 1.2704703
521 2.1240529 1.4847675
522 1.4872835 1.5728373
523 2.0193519 1.6781106
524 1.6681798 1.7528338
525 1.9982828 1.9083986
526 1.6124153 1.8850927
527 1.2504739 1.8678245
528 1.4517339 1.8345994
529 1.7240516 1.8521413
530 1.6092256 1.7305668
531 1.3104148 1.6213745
532 1.5842992 1.5854716
533 2.1107123 1.5875272
534 1.1605336 1.5308678
535 1.5322163 1.5002373
536 1.3695561 1.4908068
537 1.1168342 1.4347361
538 1.4418371 1.3162724
539 1.2487075 1.3132735
540 1.6736860 1.3194775
541 1.3778079 1.3021414
542 1.7979542 1.3700252
543 1.0311463 1.4150512
544 1.7931520 1.4473614
545 2.0704378 1.5190703
546 1.9283903 1.6309195
547 2.4231622 1.6850147
548 1.7129617 1.7393126
549 1.8156683 1.7641029
550 1.5802293 1.7161066
551 1.7222308 1.6657675
552 1.5221642 1.5870134
553 1.8002728 1.5880261
554 1.6134179 1.6426204
555 2.2083251 1.7917344
556 1.5217916 1.8011462
557 1.4646958 1.8895384
558 1.5089803 1.8864640
559 1.8970027 1.8851250
560 1.7808257 1.8597929
real_vol_five_minutes_22_days real_vol_half_hour_5_days
361 1.387776 1.2857822
362 1.361370 1.1386334
363 1.355746 1.1517361
364 1.358499 1.2722697
365 1.346322 1.2224474
366 1.353292 1.3331684
367 1.346777 1.4775187
368 1.349737 1.6025272
369 1.374544 1.7208791
370 1.368675 1.6646109
371 1.382490 1.6784497
372 1.429152 1.7924905
373 1.485660 2.0812188
374 1.535930 2.1629376
375 1.586100 2.3752295
376 1.619770 2.4131450
377 1.646414 2.4575851
378 1.670059 2.3288540
379 1.695372 2.2112573
380 1.733986 2.3266945
381 1.782625 2.3538230
382 1.820460 2.3886243
383 1.839907 2.1984163
384 1.864942 2.0582732
385 1.877663 1.9585644
386 1.902025 1.8163890
387 1.955655 1.6849758
388 1.981836 1.6790089
389 1.985854 1.8293657
390 1.989842 1.6700206
391 1.982765 1.7416356
392 2.010871 1.7511275
393 2.001904 1.6988175
394 1.977763 1.6670599
395 1.931259 1.7986308
396 1.916441 1.8270292
397 1.898581 1.7956068
398 1.881180 1.8288662
399 1.865666 1.8170016
400 1.849429 1.7227783
401 1.826565 1.5949962
402 1.796232 1.5044355
403 1.757309 1.5339087
404 1.730800 1.3945733
405 1.710159 1.2881470
406 1.707194 1.3444222
407 1.734166 1.4390945
408 1.731381 1.4681789
409 1.711598 1.6392103
410 1.705862 1.8494347
411 1.696947 1.8388271
412 1.705651 1.9268774
413 1.707869 1.9191847
414 1.687580 1.9260761
415 1.698283 1.7819600
416 1.692928 1.7477666
417 1.689606 1.7544118
418 1.665156 1.6443692
419 1.633933 1.4603833
420 1.611021 1.4893004
421 1.598083 1.5049659
422 1.573558 1.3004653
423 1.561624 1.3227360
424 1.558523 1.4430743
425 1.558885 1.3471926
426 1.540663 1.2528973
427 1.534818 1.2558085
428 1.519144 1.1650567
429 1.470698 1.0613483
430 1.445224 1.0677040
431 1.411141 1.1226318
432 1.368411 1.1513848
433 1.351574 1.1064036
434 1.306617 1.0126817
435 1.262242 0.9805744
436 1.228479 0.8969288
437 1.193090 0.8338784
438 1.176505 0.9084043
439 1.163707 1.0303634
440 1.158229 1.1032151
441 1.146059 1.1579387
442 1.137734 1.1647127
443 1.123889 1.1177699
444 1.124832 1.0958375
445 1.118557 0.9864265
446 1.113944 0.9783320
447 1.100530 0.9261560
448 1.096254 0.9699974
449 1.090609 0.9527244
450 1.089926 0.9808873
451 1.088418 0.9363499
452 1.083858 0.9964273
453 1.083102 0.9496066
454 1.093733 1.0470513
455 1.093679 1.0181886
456 1.109402 1.0561919
457 1.135667 1.1422951
458 1.166131 1.3349102
459 1.189140 1.3661845
460 1.192679 1.4670131
461 1.190846 1.5412874
462 1.177440 1.4784981
463 1.179025 1.3524872
464 1.184575 1.2409336
465 1.189816 1.2942768
466 1.182814 1.2710825
467 1.191199 1.2010598
468 1.193143 1.2097422
469 1.194767 1.1999020
470 1.190864 1.1029500
471 1.196695 1.0235283
472 1.198418 1.0947875
473 1.201405 1.1293766
474 1.199655 1.1550553
475 1.211017 1.2450365
476 1.210096 1.2979365
477 1.228176 1.3733355
478 1.244818 1.4294823
479 1.241528 1.5148656
480 1.234263 1.4393422
481 1.227219 1.4236983
482 1.229204 1.3361641
483 1.230135 1.2213006
484 1.247215 1.1645943
485 1.263162 1.1971927
486 1.265908 1.2684260
487 1.277051 1.2984753
488 1.286292 1.3713181
489 1.293343 1.3820093
490 1.305574 1.3669511
491 1.312846 1.4028226
492 1.332421 1.5425588
493 1.340095 1.4353981
494 1.352472 1.4914287
495 1.361674 1.4388388
496 1.372816 1.3625880
497 1.373270 1.2843907
498 1.388471 1.3502288
499 1.396889 1.4086414
500 1.393618 1.4954497
501 1.395523 1.5951383
502 1.399287 1.5246615
503 1.404400 1.5385707
504 1.405322 1.4372314
505 1.417407 1.5568168
506 1.419148 1.4772318
507 1.422381 1.5188591
508 1.426068 1.4976968
509 1.431360 1.4701820
510 1.450389 1.3987541
511 1.459131 1.5615499
512 1.454823 1.5572896
513 1.465305 1.6398148
514 1.458644 1.5746182
515 1.463663 1.5709945
516 1.446120 1.3187620
517 1.452966 1.2201171
518 1.452025 1.1026248
519 1.449875 1.1881326
520 1.437147 1.1693054
521 1.460719 1.4234770
522 1.476145 1.5418356
523 1.494945 1.7364930
524 1.505356 1.7739346
525 1.532883 1.8594302
526 1.565297 1.7571026
527 1.573619 1.7097407
528 1.581157 1.5962171
529 1.589242 1.6073915
530 1.587758 1.5295800
531 1.584279 1.4691800
532 1.579921 1.5359450
533 1.585318 1.6677407
534 1.588121 1.5550371
535 1.579497 1.5396353
536 1.588940 1.5514635
537 1.581481 1.4579705
538 1.583765 1.3241955
539 1.583154 1.3418302
540 1.582597 1.3701242
541 1.587147 1.3717745
542 1.604107 1.5079985
543 1.567920 1.4258604
544 1.554636 1.5347493
545 1.546451 1.6140996
546 1.559439 1.7242161
547 1.553338 1.8492577
548 1.534788 1.9856208
549 1.531063 1.9901241
550 1.519521 1.8920824
551 1.517082 1.8508505
552 1.520712 1.6706509
553 1.527209 1.6881131
554 1.544052 1.6476630
555 1.565932 1.7732822
556 1.578509 1.7331943
557 1.609190 1.7217006
558 1.617131 1.6634421
559 1.646413 1.7201591
560 1.689459 1.6346592
real_vol_half_hour_22_days
361 1.3389007
362 1.3171671
363 1.3243006
364 1.3450933
365 1.3406710
366 1.3584424
367 1.3611385
368 1.3881909
369 1.4050311
370 1.3886850
371 1.4264485
372 1.4617077
373 1.5400450
374 1.5812589
375 1.6191505
376 1.6515270
377 1.6846183
378 1.7478085
379 1.7702979
380 1.8437321
381 1.8977926
382 1.9312514
383 1.9552253
384 1.9793070
385 2.0271022
386 2.0214560
387 2.0363714
388 2.0338254
389 2.0592722
390 2.0424416
391 2.0261734
392 2.0560343
393 2.0384545
394 2.0307652
395 1.9782170
396 1.9498306
397 1.9243019
398 1.9056638
399 1.8851781
400 1.8404725
401 1.8097713
402 1.7374248
403 1.7193197
404 1.6592574
405 1.6335932
406 1.6475324
407 1.6193635
408 1.6401810
409 1.6488562
410 1.6723263
411 1.6496827
412 1.6777400
413 1.6805331
414 1.6886172
415 1.6912223
416 1.6680252
417 1.6676902
418 1.6390194
419 1.6124300
420 1.6140482
421 1.5971080
422 1.5717100
423 1.5771421
424 1.5984843
425 1.5716128
426 1.5649088
427 1.5643603
428 1.5363772
429 1.5126329
430 1.4805958
431 1.4475046
432 1.4057126
433 1.3699173
434 1.3048611
435 1.2672752
436 1.2136075
437 1.1902396
438 1.1791532
439 1.1403047
440 1.1442856
441 1.1448701
442 1.1164696
443 1.0911541
444 1.0937984
445 1.0678517
446 1.0392469
447 1.0207795
448 1.0268587
449 1.0249156
450 1.0259950
451 1.0108381
452 1.0045802
453 0.9875348
454 1.0012034
455 1.0059461
456 1.0207268
457 1.0413349
458 1.0870760
459 1.1221821
460 1.1329027
461 1.1368459
462 1.1266265
463 1.1312916
464 1.1395050
465 1.1730179
466 1.1766743
467 1.1754068
468 1.1838848
469 1.2017200
470 1.2032344
471 1.1927661
472 1.2012932
473 1.2277545
474 1.2377718
475 1.2703775
476 1.2497855
477 1.2820085
478 1.3125932
479 1.3224470
480 1.2941121
481 1.2628568
482 1.2522700
483 1.2398690
484 1.2511052
485 1.2588179
486 1.2691051
487 1.2532242
488 1.2626498
489 1.2922301
490 1.2945472
491 1.3152234
492 1.3531353
493 1.3562566
494 1.3823758
495 1.3648795
496 1.3623900
497 1.3620795
498 1.3681412
499 1.3903999
500 1.3798721
501 1.3806338
502 1.3814702
503 1.3942485
504 1.4133697
505 1.4561258
506 1.4516877
507 1.4545762
508 1.4463555
509 1.4523939
510 1.4623612
511 1.4924924
512 1.4978350
513 1.5002174
514 1.4596802
515 1.4931786
516 1.4532500
517 1.4481255
518 1.4411348
519 1.4378033
520 1.4520596
521 1.4566217
522 1.4586678
523 1.4732609
524 1.4944563
525 1.5249822
526 1.5293198
527 1.4934232
528 1.5003030
529 1.5145773
530 1.5322284
531 1.5290920
532 1.5246030
533 1.5244373
534 1.5140654
535 1.5094603
536 1.5238296
537 1.4989157
538 1.5256721
539 1.5417274
540 1.5702557
541 1.5655664
542 1.5758914
543 1.5262138
544 1.5401169
545 1.5424390
546 1.5542668
547 1.5735795
548 1.5781497
549 1.6038404
550 1.6096811
551 1.6095983
552 1.6056410
553 1.6279073
554 1.6292309
555 1.6336678
556 1.6500886
557 1.6470195
558 1.6533570
559 1.6888192
560 1.7042277
mfGARCH documentation built on June 17, 2021, 5:15 p.m.
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Examples
View source: R/simulate_mfgarch.R
Description
This function simulates a GARCH-MIDAS model. Innovations can follow a standard normal or student-t distribution.
Usage
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 | simulate_mfgarch(
n.days,
mu,
alpha,
beta,
gamma,
m,
theta,
w1 = 1,
w2,
K,
psi,
sigma.psi,
low.freq = 1,
n.intraday = 288,
student.t = NULL,
corr = 0
)
|
Arguments
n.days |
number of days |
mu |
mu |
alpha |
alpha |
beta |
beta |
gamma |
gamma |
m |
m |
theta |
theta |
w1 |
w1 |
w2 |
w2 |
K |
K |
psi |
psi |
sigma.psi |
sigma.psi |
low.freq |
number of days per low-frequency period |
n.intraday |
number of maximum intraday returns |
student.t |
either NULL or degrees of freedom |
corr |
correlation between innovations (should only be used for daily tau) |
Examples
1 2 | simulate_mfgarch(n.days = 200, mu = 0, alpha = 0.06, beta = 0.92, gamma = 0, m = 0,
theta = 0.1, w1 = 1, w2 = 3, K = 12, psi = 0.98, sigma.psi = 0.1, low.freq = 10)
|
Example output
date return covariate low_freq tau g real_vol
361 361 0.06587990 -0.3099398 37 0.9666322 1.1225745 1.3496378
362 362 -1.84648171 -0.3099398 37 0.9666322 1.0530380 1.0184340
363 363 -0.66121163 -0.3099398 37 0.9666322 1.2004263 1.2267902
364 364 0.52319467 -0.3099398 37 0.9666322 1.1515298 1.3405690
365 365 -3.49441787 -0.3099398 37 0.9666322 1.0963983 1.0525271
366 366 -1.64509206 -0.3099398 37 0.9666322 1.7866349 1.5026057
367 367 -1.06675585 -0.3099398 37 0.9666322 1.8316891 1.5176328
368 368 1.27654747 -0.3099398 37 0.9666322 1.7757890 1.5906283
369 369 -0.36292399 -0.3099398 37 0.9666322 1.7548754 1.9889423
370 370 2.05666624 -0.3099398 37 0.9666322 1.6426610 1.3655906
371 371 -4.17445986 -0.3364420 38 0.9673245 1.7938015 1.7292091
372 372 2.31090100 -0.3364420 38 0.9673245 2.7511828 2.1822054
373 373 0.80394382 -0.3364420 38 0.9673245 2.8823274 2.7224663
374 374 1.35541648 -0.3364420 38 0.9673245 2.7118307 2.4000998
375 375 0.63513138 -0.3364420 38 0.9673245 2.6288369 2.4176019
376 376 -0.25389810 -0.3364420 38 0.9673245 2.4635510 2.2893167
377 377 1.40604565 -0.3364420 38 0.9673245 2.2904655 2.0075775
378 378 -0.37081023 -0.3364420 38 0.9673245 2.2498529 2.0983379
379 379 2.30292782 -0.3364420 38 0.9673245 2.0983934 1.9638509
380 380 -0.87209717 -0.3364420 38 0.9673245 2.2794793 1.9797488
381 381 1.26161579 -0.2832963 39 0.9674309 2.1642956 2.2039663
382 382 0.22385488 -0.2832963 39 0.9674309 2.1098675 2.1023749
383 383 0.46032386 -0.2832963 39 0.9674309 1.9641860 1.7774786
384 384 1.67467168 -0.2832963 39 0.9674309 1.8401930 1.5692052
385 385 -2.96508294 -0.2832963 39 0.9674309 1.8869141 1.5066603
386 386 -0.54392515 -0.2832963 39 0.9674309 2.3012227 1.8765208
387 387 0.66147085 -0.2832963 39 0.9674309 2.1554737 2.2323999
388 388 0.47761119 -0.2832963 39 0.9674309 2.0301723 2.0785873
389 389 1.00279227 -0.2832963 39 0.9674309 1.9019060 1.6060148
390 390 -2.33496901 -0.2832963 39 0.9674309 1.8321203 1.6783685
391 391 0.76862717 -0.3713307 40 0.9686871 2.0436883 1.8332438
392 392 0.28793610 -0.3713307 40 0.9686871 1.9367864 1.9839359
393 393 -1.33908958 -0.3713307 40 0.9686871 1.8069787 1.5319193
394 394 1.93360189 -0.3713307 40 0.9686871 1.7934879 1.6511053
395 395 -2.36882009 -0.3713307 40 0.9686871 1.9015893 1.6993798
396 396 -0.68378525 -0.3713307 40 0.9686871 2.1170238 2.0740969
397 397 -1.28417078 -0.3713307 40 0.9686871 1.9966225 2.0247007
398 398 1.05070372 -0.3713307 40 0.9686871 1.9590368 1.9064902
399 399 0.51192313 -0.3713307 40 0.9686871 1.8906937 1.6662563
400 400 1.23213207 -0.3713307 40 0.9686871 1.7756704 1.7411307
401 401 0.51179716 -0.4585414 41 0.9678165 1.7476502 1.4608565
402 402 1.18423179 -0.4585414 41 0.9678165 1.6440770 1.3124131
403 403 -1.67049468 -0.4585414 41 0.9678165 1.6194933 1.3476537
404 404 0.36524159 -0.4585414 41 0.9678165 1.6829347 1.5191825
405 405 0.78194346 -0.4585414 41 0.9678165 1.5765702 1.3233663
406 406 -3.29070626 -0.4585414 41 0.9678165 1.5083507 1.5039812
407 407 -0.91273820 -0.4585414 41 0.9678165 2.0790132 2.1000516
408 408 1.37529692 -0.4585414 41 0.9678165 1.9843398 1.8152521
409 409 -1.37593078 -0.4585414 41 0.9678165 1.9628530 1.7971666
410 410 -0.50338634 -0.4585414 41 0.9678165 1.9431932 1.9524064
411 411 1.61307567 -0.4249884 42 0.9651253 1.8234472 1.4098836
412 412 -1.29558753 -0.4249884 42 0.9651253 1.8593336 1.8698568
413 413 0.33310712 -0.4249884 42 0.9651253 1.8349390 1.8820355
414 414 0.36971847 -0.4249884 42 0.9651253 1.7150421 1.5375693
415 415 -1.61137467 -0.4249884 42 0.9651253 1.6063366 1.7673884
416 416 0.80509183 -0.4249884 42 0.9651253 1.6592509 1.5332953
417 417 1.49997866 -0.4249884 42 0.9651253 1.5868065 1.6262976
418 418 -0.31351569 -0.4249884 42 0.9651253 1.6197362 1.5362062
419 419 0.48042507 -0.4249884 42 0.9651253 1.5162679 1.3377777
420 420 0.95261790 -0.4249884 42 0.9651253 1.4293154 1.4024453
421 421 -0.15837495 -0.2944352 43 0.9635064 1.3913865 1.3816068
422 422 -0.71531827 -0.2944352 43 0.9635064 1.3016376 1.2015751
423 423 -0.36799581 -0.2944352 43 0.9635064 1.2493702 1.1983276
424 424 2.22089263 -0.2944352 43 0.9635064 1.1778536 1.2441750
425 425 0.02866817 -0.2944352 43 0.9635064 1.4107762 1.3556259
426 426 -0.10768392 -0.2944352 43 0.9635064 1.3179653 1.1182867
427 427 1.20929583 -0.2944352 43 0.9635064 1.2332501 1.1947902
428 428 0.50000565 -0.2944352 43 0.9635064 1.2456573 1.1591436
429 429 -0.87433300 -0.2944352 43 0.9635064 1.1815732 1.0342524
430 430 -0.79642171 -0.2944352 43 0.9635064 1.1546521 1.2548180
431 431 -0.59550796 -0.2845923 44 0.9649072 1.1217786 1.0473448
432 432 0.53438740 -0.2845923 44 0.9649072 1.0740880 1.0123305
433 433 0.20883697 -0.2845923 44 0.9649072 1.0259183 1.0394874
434 434 0.31890365 -0.2845923 44 0.9649072 0.9665568 0.8807917
435 435 -0.74017222 -0.2845923 44 0.9649072 0.9155561 0.9057849
436 436 0.88414074 -0.2845923 44 0.9649072 0.8963784 0.7947959
437 437 1.98495401 -0.2845923 44 0.9649072 0.8932762 0.9888311
438 438 -2.47962636 -0.2845923 44 0.9649072 1.0868144 1.1684062
439 439 0.87499684 -0.2845923 44 0.9649072 1.4021991 1.3447497
440 440 -0.24824868 -0.2845923 44 0.9649072 1.3576310 1.4156817
441 441 -1.15051306 -0.2724539 45 0.9663129 1.2728527 1.0700462
442 442 1.09231558 -0.2724539 45 0.9663129 1.2732140 1.2192859
443 443 -0.27806925 -0.2724539 45 0.9663129 1.2654418 1.0770314
444 444 -1.22300567 -0.2724539 45 0.9663129 1.1890075 1.2223109
445 445 -1.02042262 -0.2724539 45 0.9663129 1.2067601 1.0602826
446 446 -1.00038692 -0.2724539 45 0.9663129 1.1948731 1.1426948
447 447 -0.78135938 -0.2724539 45 0.9663129 1.1814230 1.0605172
448 448 -1.16018084 -0.2724539 45 0.9663129 1.1448175 1.0242077
449 449 -0.11560192 -0.2724539 45 0.9663129 1.1568087 1.0706129
450 450 -0.35374888 -0.2724539 45 0.9663129 1.0850938 1.1441090
451 451 -1.57327959 -0.3393463 46 0.9677840 1.0260563 1.0010855
452 452 1.25198028 -0.3393463 46 0.9677840 1.1174281 1.1544965
453 453 0.58534710 -0.3393463 46 0.9677840 1.1452118 1.0307135
454 454 -2.38964930 -0.3393463 46 0.9677840 1.0948371 1.2462079
455 455 -0.56998184 -0.3393463 46 0.9677840 1.3812810 1.0382908
456 456 -1.83743469 -0.3393463 46 0.9677840 1.3109202 1.2266951
457 457 1.36429913 -0.3393463 46 0.9677840 1.4353598 1.4836161
458 458 0.77782282 -0.3393463 46 0.9677840 1.4559273 1.4650169
459 459 -1.07790831 -0.3393463 46 0.9677840 1.3969620 1.4950190
460 460 -0.03723131 -0.3393463 46 0.9677840 1.3772389 1.2462685
461 461 0.19126262 -0.5729172 47 0.9676176 1.2871457 1.3044203
462 462 0.86937087 -0.5729172 47 0.9676176 1.2064424 1.1207462
463 463 -1.57825866 -0.5729172 47 0.9676176 1.1767930 1.1049105
464 464 -0.65828002 -0.5729172 47 0.9676176 1.2571052 1.3413916
465 465 0.62750389 -0.5729172 47 0.9676176 1.2034069 1.1923296
466 466 1.04650902 -0.5729172 47 0.9676176 1.1515507 1.0682794
467 467 -0.59661889 -0.5729172 47 0.9676176 1.1473366 1.2447508
468 468 1.74327893 -0.5729172 47 0.9676176 1.0976216 1.1854717
469 469 -0.20105655 -0.5729172 47 0.9676176 1.2182554 1.0962417
470 470 0.90801428 -0.5729172 47 0.9676176 1.1433016 0.9383377
471 471 1.94371785 -0.7187650 48 0.9625002 1.1229624 1.1988811
472 472 -0.40194746 -0.7187650 48 0.9625002 1.2886395 1.1820144
473 473 0.64943309 -0.7187650 48 0.9625002 1.2156197 1.0668101
474 474 -0.94103055 -0.7187650 48 0.9625002 1.1646619 1.1159913
475 475 -1.61041875 -0.7187650 48 0.9625002 1.1466913 1.2806893
476 476 1.71224134 -0.7187650 48 0.9625002 1.2366255 1.2259350
477 477 -2.04031014 -0.7187650 48 0.9625002 1.3404552 1.4360484
478 478 1.21472332 -0.7187650 48 0.9625002 1.5127220 1.5928223
479 479 -0.05762118 -0.7187650 48 0.9625002 1.5036867 1.4112445
480 480 0.82257225 -0.7187650 48 0.9625002 1.4035988 1.3051878
481 481 0.02617568 -0.7226180 49 0.9551331 1.3534901 1.3400475
482 482 1.33868915 -0.7226180 49 0.9551331 1.2652539 1.2899341
483 483 -2.00536197 -0.7226180 49 0.9551331 1.2966099 1.3249074
484 484 -0.88394226 -0.7226180 49 0.9551331 1.4655041 1.4964995
485 485 -1.89897247 -0.7226180 49 0.9551331 1.4173472 1.4557430
486 486 -1.43278674 -0.7226180 49 0.9551331 1.5504889 1.4018040
487 487 0.67531724 -0.7226180 49 0.9551331 1.5754084 1.4374792
488 488 -1.40404835 -0.7226180 49 0.9551331 1.4980243 1.2715845
489 489 -0.44999564 -0.7226180 49 0.9551331 1.5220197 1.3998753
490 490 1.07636692 -0.7226180 49 0.9551331 1.4329786 1.4545448
491 491 -1.19178426 -0.7085880 50 0.9489549 1.4111196 1.2562376
492 492 -1.83966921 -0.7085880 50 0.9489549 1.4080352 1.3689747
493 493 -1.36630651 -0.7085880 50 0.9489549 1.5293782 1.3677183
494 494 -0.38439754 -0.7085880 50 0.9489549 1.5450606 1.4542999
495 495 -1.10454957 -0.7085880 50 0.9489549 1.4507983 1.2692668
496 496 1.24017066 -0.7085880 50 0.9489549 1.4318738 1.3610979
497 497 -2.87491293 -0.7085880 50 0.9489549 1.4345692 1.2906967
498 498 1.07108924 -0.7085880 50 0.9489549 1.8623864 1.5603374
499 499 1.23732729 -0.7085880 50 0.9489549 1.8059321 1.6212460
500 500 -0.07565640 -0.7085880 50 0.9489549 1.7782574 1.5208621
501 501 1.07588647 -0.7046274 51 0.9442125 1.6563587 1.4531719
502 502 -0.54367934 -0.7046274 51 0.9442125 1.6174054 1.3879752
503 503 0.43287935 -0.7046274 51 0.9442125 1.5267961 1.4525397
504 504 2.30594513 -0.7046274 51 0.9442125 1.4365597 1.3102160
505 505 -0.04002040 -0.7046274 51 0.9442125 1.6795281 1.5907933
506 506 0.18901568 -0.7046274 51 0.9442125 1.5652677 1.5347914
507 507 1.80972935 -0.7046274 51 0.9442125 1.4623165 1.5268677
508 508 -1.92356672 -0.7046274 51 0.9442125 1.5734488 1.4829164
509 509 0.98832245 -0.7046274 51 0.9442125 1.7026964 1.5538962
510 510 0.48607640 -0.7046274 51 0.9442125 1.6485502 1.6902397
511 511 -0.23123327 -0.6152416 52 0.9405126 1.5516800 1.5921909
512 512 -0.12381912 -0.6152416 52 0.9405126 1.4509567 1.3597640
513 513 -0.65753867 -0.6152416 52 0.9405126 1.3558582 1.4868450
514 514 1.59965579 -0.6152416 52 0.9405126 1.2949717 1.2224397
515 515 -0.67966876 -0.6152416 52 0.9405126 1.3746189 1.4781286
516 516 -1.31843029 -0.6152416 52 0.9405126 1.3141195 1.0683516
517 517 1.29144054 -0.6152416 52 0.9405126 1.3398821 1.4198788
518 518 -0.91518575 -0.6152416 52 0.9405126 1.3590900 1.3403932
519 519 1.03706457 -0.6152416 52 0.9405126 1.3237953 1.2434055
520 520 3.23381446 -0.6152416 52 0.9405126 1.3065034 1.2803224
521 521 0.69474560 -0.5398510 53 0.9394912 1.8891229 2.1398377
522 522 -1.88848260 -0.5398510 53 0.9394912 1.7888185 1.8602280
523 523 1.04203683 -0.5398510 53 0.9394912 1.8934767 1.8667594
524 524 2.47728069 -0.5398510 53 0.9394912 1.8313451 1.6170218
525 525 -0.88962103 -0.5398510 53 0.9394912 2.0967679 2.0581461
526 526 -0.08959623 -0.5398510 53 0.9394912 1.9995704 2.0233085
527 527 1.02378113 -0.5398510 53 0.9394912 1.8601174 1.7738870
528 528 0.72750232 -0.5398510 53 0.9394912 1.7982460 1.7006335
529 529 0.33668598 -0.5398510 53 0.9394912 1.7081872 1.7047316
530 530 -1.21017321 -0.5398510 53 0.9394912 1.5987717 1.4502733
531 531 1.34490418 -0.4314779 54 0.9404412 1.5844005 1.4773470
532 532 1.21109485 -0.4314779 54 0.9404412 1.5930476 1.5943726
533 533 1.38856356 -0.4314779 54 0.9404412 1.5791822 1.7109118
534 534 0.36855928 -0.4314779 54 0.9404412 1.5958607 1.4214345
535 535 1.08021630 -0.4314779 54 0.9404412 1.4968581 1.2971207
536 536 -0.43451168 -0.4314779 54 0.9404412 1.4715554 1.4301942
537 537 -1.46919369 -0.4314779 54 0.9404412 1.3858764 1.3140195
538 538 1.10036432 -0.4314779 54 0.9404412 1.4327202 1.1185933
539 539 -1.00401156 -0.4314779 54 0.9404412 1.4153515 1.4064397
540 540 -0.25527920 -0.4314779 54 0.9404412 1.3864362 1.3281409
541 541 2.41527627 -0.3803032 55 0.9437480 1.2996789 1.3435137
542 542 -1.40336612 -0.3803032 55 0.9437480 1.5865807 1.6534384
543 543 -0.62389987 -0.3803032 55 0.9437480 1.6048637 1.3437231
544 544 -2.23418923 -0.3803032 55 0.9437480 1.5212218 1.5679911
545 545 -2.44659050 -0.3803032 55 0.9437480 1.7368715 1.6866853
546 546 -1.12251925 -0.3803032 55 0.9437480 1.9984771 1.9027595
547 547 -0.88582267 -0.3803032 55 0.9437480 1.9387082 1.9239144
548 548 1.01481898 -0.3803032 55 0.9437480 1.8534987 1.6152126
549 549 0.37480843 -0.3803032 55 0.9437480 1.7906934 1.6919426
550 550 -1.76737974 -0.3803032 55 0.9437480 1.6763692 1.4467037
551 551 0.22695737 -0.5692473 56 0.9478421 1.7608485 1.6510640
552 552 2.73721665 -0.5692473 56 0.9478421 1.6432413 1.5301441
553 553 0.43896672 -0.5692473 56 0.9478421 2.0060607 1.6202761
554 554 2.61893177 -0.5692473 56 0.9478421 1.8777735 1.9649142
555 555 0.55607432 -0.5692473 56 0.9478421 2.1817254 2.1922737
556 556 1.11925944 -0.5692473 56 0.9478421 2.0467615 1.6981228
557 557 1.31840911 -0.5692473 56 0.9478421 1.9823212 1.9721052
558 558 -2.07050385 -0.5692473 56 0.9478421 1.9537667 1.6049040
559 559 1.91671539 -0.5692473 56 0.9478421 2.0888388 1.9582190
560 560 1.41058198 -0.5692473 56 0.9478421 2.1742892 2.0656137
real_vol_half_hour real_vol_five_minutes_5_days
361 1.1816113 1.2581543
362 0.7248254 1.1804458
363 1.2350499 1.1997567
364 1.5429676 1.2410895
365 1.4277828 1.1975916
366 1.7352162 1.2281852
367 1.4465767 1.3280250
368 1.8600927 1.4007926
369 2.1347269 1.5304672
370 1.1464420 1.5930800
371 1.8044101 1.6384006
372 2.0167810 1.7713152
373 3.3037342 1.9976828
374 2.5433207 2.0799143
375 2.2079016 2.2903165
376 1.9939876 2.4023380
377 2.2389814 2.3674124
378 2.6600786 2.2425868
379 1.9553371 2.1553370
380 2.7850880 2.0677663
381 2.1296301 2.0506963
382 2.4129878 2.0696558
383 1.7090383 2.0054839
384 1.2546218 1.9265548
385 2.2865441 1.8319370
386 1.4187530 1.7664479
387 1.7559217 1.7924529
388 1.6792038 1.8526747
389 2.0064058 1.8600366
390 1.4898189 1.8943783
391 1.7768281 1.8857229
392 1.8033812 1.8360301
393 1.4176537 1.7266965
394 1.8476174 1.7357146
395 2.1476734 1.7399168
396 1.9188203 1.7880874
397 1.6462691 1.7962404
398 1.5839509 1.8711546
399 1.7882945 1.8741848
400 1.6765568 1.8825350
401 1.2799096 1.7598869
402 1.1934657 1.6174294
403 1.7313168 1.5056621
404 1.0916178 1.4762473
405 1.1444251 1.3926944
406 1.5612857 1.4013194
407 1.6668271 1.5588471
408 1.8767388 1.6523668
409 1.9467751 1.7079636
410 2.1955468 1.8337716
411 1.5082475 1.8149521
412 2.1070787 1.7689131
413 1.8382756 1.7822698
414 1.9812319 1.7303503
415 1.4749661 1.6933467
416 1.3372805 1.7180291
417 2.1403048 1.6693172
418 1.2880628 1.6001514
419 1.0613020 1.5601930
420 1.6195517 1.4872044
421 1.4156080 1.4568667
422 1.1178018 1.3719222
423 1.3994162 1.3043465
424 1.6629936 1.2856260
425 1.1401436 1.2762621
426 0.9441311 1.2235981
427 1.1323579 1.2222411
428 0.9456573 1.2144043
429 1.1444516 1.1724198
430 1.1719219 1.1522582
431 1.2187705 1.1380698
432 1.2761226 1.1015779
433 0.7207512 1.0776466
434 0.6758421 1.0469545
435 1.0113854 0.9771479
436 0.8005425 0.9266381
437 0.9608709 0.9219382
438 1.0933804 0.9477220
439 1.2856376 1.0405136
440 1.3756442 1.1424929
441 1.0741602 1.1975430
442 0.9947411 1.2436339
443 0.8586665 1.2253590
444 1.1759754 1.2008712
445 0.8285891 1.1297914
446 1.0336876 1.1443211
447 0.7338613 1.1125674
448 1.0778738 1.1020026
449 1.0896102 1.0716630
450 0.9694035 1.0884283
451 0.8110008 1.0601065
452 1.0342481 1.0789023
453 0.8437705 1.0802035
454 1.5768334 1.1153225
455 0.8250902 1.0941589
456 1.0010174 1.1392808
457 1.4647639 1.2051047
458 1.8068462 1.2919654
459 1.7332046 1.3417276
460 1.3292337 1.3833231
461 1.3723885 1.3988682
462 1.1508176 1.3262942
463 1.1767915 1.2542729
464 1.1754366 1.2235474
465 1.5959497 1.2127597
466 1.2564172 1.1655315
467 0.8007038 1.1903324
468 1.2202035 1.2064446
469 1.1262358 1.1574147
470 1.1111898 1.1066163
471 0.8593085 1.1327366
472 1.1570000 1.1201893
473 1.3931491 1.0964570
474 1.2546290 1.1004069
475 1.5610957 1.1688772
476 1.1238089 1.1742880
477 1.5339950 1.2250948
478 1.6738827 1.3302973
479 1.6815456 1.3893479
480 1.1834786 1.3942476
481 1.0455894 1.4170701
482 1.0963240 1.3878472
483 1.0995653 1.3342643
484 1.3980142 1.3513153
485 1.3464706 1.3814263
486 1.4017561 1.3937776
487 1.2465705 1.4232866
488 1.4637794 1.4126220
489 1.4514701 1.3932972
490 1.2711793 1.3930576
491 1.5811138 1.3639443
492 1.9452518 1.3502434
493 0.9279754 1.3694701
494 1.7316231 1.3803551
495 1.0082298 1.3432994
496 1.1998601 1.3642715
497 1.5542650 1.3486159
498 1.2571662 1.3871397
499 2.0236861 1.4205289
500 1.4422713 1.4708480
501 1.6983028 1.4892628
502 1.2018812 1.5087185
503 1.3267119 1.4871590
504 1.5169896 1.4249530
505 2.0401987 1.4389392
506 1.3003779 1.4552631
507 1.4100173 1.4830416
508 1.2209005 1.4891170
509 1.3794157 1.5378530
510 1.6830590 1.5577423
511 2.1143572 1.5692222
512 1.3887159 1.5358014
513 1.6335264 1.5365871
514 1.0534326 1.4702958
515 1.6649406 1.4278736
516 0.8531948 1.3231058
517 0.8954909 1.3351288
518 1.0460649 1.3058384
519 1.4809716 1.3100315
520 1.5708049 1.2704703
521 2.1240529 1.4847675
522 1.4872835 1.5728373
523 2.0193519 1.6781106
524 1.6681798 1.7528338
525 1.9982828 1.9083986
526 1.6124153 1.8850927
527 1.2504739 1.8678245
528 1.4517339 1.8345994
529 1.7240516 1.8521413
530 1.6092256 1.7305668
531 1.3104148 1.6213745
532 1.5842992 1.5854716
533 2.1107123 1.5875272
534 1.1605336 1.5308678
535 1.5322163 1.5002373
536 1.3695561 1.4908068
537 1.1168342 1.4347361
538 1.4418371 1.3162724
539 1.2487075 1.3132735
540 1.6736860 1.3194775
541 1.3778079 1.3021414
542 1.7979542 1.3700252
543 1.0311463 1.4150512
544 1.7931520 1.4473614
545 2.0704378 1.5190703
546 1.9283903 1.6309195
547 2.4231622 1.6850147
548 1.7129617 1.7393126
549 1.8156683 1.7641029
550 1.5802293 1.7161066
551 1.7222308 1.6657675
552 1.5221642 1.5870134
553 1.8002728 1.5880261
554 1.6134179 1.6426204
555 2.2083251 1.7917344
556 1.5217916 1.8011462
557 1.4646958 1.8895384
558 1.5089803 1.8864640
559 1.8970027 1.8851250
560 1.7808257 1.8597929
real_vol_five_minutes_22_days real_vol_half_hour_5_days
361 1.387776 1.2857822
362 1.361370 1.1386334
363 1.355746 1.1517361
364 1.358499 1.2722697
365 1.346322 1.2224474
366 1.353292 1.3331684
367 1.346777 1.4775187
368 1.349737 1.6025272
369 1.374544 1.7208791
370 1.368675 1.6646109
371 1.382490 1.6784497
372 1.429152 1.7924905
373 1.485660 2.0812188
374 1.535930 2.1629376
375 1.586100 2.3752295
376 1.619770 2.4131450
377 1.646414 2.4575851
378 1.670059 2.3288540
379 1.695372 2.2112573
380 1.733986 2.3266945
381 1.782625 2.3538230
382 1.820460 2.3886243
383 1.839907 2.1984163
384 1.864942 2.0582732
385 1.877663 1.9585644
386 1.902025 1.8163890
387 1.955655 1.6849758
388 1.981836 1.6790089
389 1.985854 1.8293657
390 1.989842 1.6700206
391 1.982765 1.7416356
392 2.010871 1.7511275
393 2.001904 1.6988175
394 1.977763 1.6670599
395 1.931259 1.7986308
396 1.916441 1.8270292
397 1.898581 1.7956068
398 1.881180 1.8288662
399 1.865666 1.8170016
400 1.849429 1.7227783
401 1.826565 1.5949962
402 1.796232 1.5044355
403 1.757309 1.5339087
404 1.730800 1.3945733
405 1.710159 1.2881470
406 1.707194 1.3444222
407 1.734166 1.4390945
408 1.731381 1.4681789
409 1.711598 1.6392103
410 1.705862 1.8494347
411 1.696947 1.8388271
412 1.705651 1.9268774
413 1.707869 1.9191847
414 1.687580 1.9260761
415 1.698283 1.7819600
416 1.692928 1.7477666
417 1.689606 1.7544118
418 1.665156 1.6443692
419 1.633933 1.4603833
420 1.611021 1.4893004
421 1.598083 1.5049659
422 1.573558 1.3004653
423 1.561624 1.3227360
424 1.558523 1.4430743
425 1.558885 1.3471926
426 1.540663 1.2528973
427 1.534818 1.2558085
428 1.519144 1.1650567
429 1.470698 1.0613483
430 1.445224 1.0677040
431 1.411141 1.1226318
432 1.368411 1.1513848
433 1.351574 1.1064036
434 1.306617 1.0126817
435 1.262242 0.9805744
436 1.228479 0.8969288
437 1.193090 0.8338784
438 1.176505 0.9084043
439 1.163707 1.0303634
440 1.158229 1.1032151
441 1.146059 1.1579387
442 1.137734 1.1647127
443 1.123889 1.1177699
444 1.124832 1.0958375
445 1.118557 0.9864265
446 1.113944 0.9783320
447 1.100530 0.9261560
448 1.096254 0.9699974
449 1.090609 0.9527244
450 1.089926 0.9808873
451 1.088418 0.9363499
452 1.083858 0.9964273
453 1.083102 0.9496066
454 1.093733 1.0470513
455 1.093679 1.0181886
456 1.109402 1.0561919
457 1.135667 1.1422951
458 1.166131 1.3349102
459 1.189140 1.3661845
460 1.192679 1.4670131
461 1.190846 1.5412874
462 1.177440 1.4784981
463 1.179025 1.3524872
464 1.184575 1.2409336
465 1.189816 1.2942768
466 1.182814 1.2710825
467 1.191199 1.2010598
468 1.193143 1.2097422
469 1.194767 1.1999020
470 1.190864 1.1029500
471 1.196695 1.0235283
472 1.198418 1.0947875
473 1.201405 1.1293766
474 1.199655 1.1550553
475 1.211017 1.2450365
476 1.210096 1.2979365
477 1.228176 1.3733355
478 1.244818 1.4294823
479 1.241528 1.5148656
480 1.234263 1.4393422
481 1.227219 1.4236983
482 1.229204 1.3361641
483 1.230135 1.2213006
484 1.247215 1.1645943
485 1.263162 1.1971927
486 1.265908 1.2684260
487 1.277051 1.2984753
488 1.286292 1.3713181
489 1.293343 1.3820093
490 1.305574 1.3669511
491 1.312846 1.4028226
492 1.332421 1.5425588
493 1.340095 1.4353981
494 1.352472 1.4914287
495 1.361674 1.4388388
496 1.372816 1.3625880
497 1.373270 1.2843907
498 1.388471 1.3502288
499 1.396889 1.4086414
500 1.393618 1.4954497
501 1.395523 1.5951383
502 1.399287 1.5246615
503 1.404400 1.5385707
504 1.405322 1.4372314
505 1.417407 1.5568168
506 1.419148 1.4772318
507 1.422381 1.5188591
508 1.426068 1.4976968
509 1.431360 1.4701820
510 1.450389 1.3987541
511 1.459131 1.5615499
512 1.454823 1.5572896
513 1.465305 1.6398148
514 1.458644 1.5746182
515 1.463663 1.5709945
516 1.446120 1.3187620
517 1.452966 1.2201171
518 1.452025 1.1026248
519 1.449875 1.1881326
520 1.437147 1.1693054
521 1.460719 1.4234770
522 1.476145 1.5418356
523 1.494945 1.7364930
524 1.505356 1.7739346
525 1.532883 1.8594302
526 1.565297 1.7571026
527 1.573619 1.7097407
528 1.581157 1.5962171
529 1.589242 1.6073915
530 1.587758 1.5295800
531 1.584279 1.4691800
532 1.579921 1.5359450
533 1.585318 1.6677407
534 1.588121 1.5550371
535 1.579497 1.5396353
536 1.588940 1.5514635
537 1.581481 1.4579705
538 1.583765 1.3241955
539 1.583154 1.3418302
540 1.582597 1.3701242
541 1.587147 1.3717745
542 1.604107 1.5079985
543 1.567920 1.4258604
544 1.554636 1.5347493
545 1.546451 1.6140996
546 1.559439 1.7242161
547 1.553338 1.8492577
548 1.534788 1.9856208
549 1.531063 1.9901241
550 1.519521 1.8920824
551 1.517082 1.8508505
552 1.520712 1.6706509
553 1.527209 1.6881131
554 1.544052 1.6476630
555 1.565932 1.7732822
556 1.578509 1.7331943
557 1.609190 1.7217006
558 1.617131 1.6634421
559 1.646413 1.7201591
560 1.689459 1.6346592
real_vol_half_hour_22_days
361 1.3389007
362 1.3171671
363 1.3243006
364 1.3450933
365 1.3406710
366 1.3584424
367 1.3611385
368 1.3881909
369 1.4050311
370 1.3886850
371 1.4264485
372 1.4617077
373 1.5400450
374 1.5812589
375 1.6191505
376 1.6515270
377 1.6846183
378 1.7478085
379 1.7702979
380 1.8437321
381 1.8977926
382 1.9312514
383 1.9552253
384 1.9793070
385 2.0271022
386 2.0214560
387 2.0363714
388 2.0338254
389 2.0592722
390 2.0424416
391 2.0261734
392 2.0560343
393 2.0384545
394 2.0307652
395 1.9782170
396 1.9498306
397 1.9243019
398 1.9056638
399 1.8851781
400 1.8404725
401 1.8097713
402 1.7374248
403 1.7193197
404 1.6592574
405 1.6335932
406 1.6475324
407 1.6193635
408 1.6401810
409 1.6488562
410 1.6723263
411 1.6496827
412 1.6777400
413 1.6805331
414 1.6886172
415 1.6912223
416 1.6680252
417 1.6676902
418 1.6390194
419 1.6124300
420 1.6140482
421 1.5971080
422 1.5717100
423 1.5771421
424 1.5984843
425 1.5716128
426 1.5649088
427 1.5643603
428 1.5363772
429 1.5126329
430 1.4805958
431 1.4475046
432 1.4057126
433 1.3699173
434 1.3048611
435 1.2672752
436 1.2136075
437 1.1902396
438 1.1791532
439 1.1403047
440 1.1442856
441 1.1448701
442 1.1164696
443 1.0911541
444 1.0937984
445 1.0678517
446 1.0392469
447 1.0207795
448 1.0268587
449 1.0249156
450 1.0259950
451 1.0108381
452 1.0045802
453 0.9875348
454 1.0012034
455 1.0059461
456 1.0207268
457 1.0413349
458 1.0870760
459 1.1221821
460 1.1329027
461 1.1368459
462 1.1266265
463 1.1312916
464 1.1395050
465 1.1730179
466 1.1766743
467 1.1754068
468 1.1838848
469 1.2017200
470 1.2032344
471 1.1927661
472 1.2012932
473 1.2277545
474 1.2377718
475 1.2703775
476 1.2497855
477 1.2820085
478 1.3125932
479 1.3224470
480 1.2941121
481 1.2628568
482 1.2522700
483 1.2398690
484 1.2511052
485 1.2588179
486 1.2691051
487 1.2532242
488 1.2626498
489 1.2922301
490 1.2945472
491 1.3152234
492 1.3531353
493 1.3562566
494 1.3823758
495 1.3648795
496 1.3623900
497 1.3620795
498 1.3681412
499 1.3903999
500 1.3798721
501 1.3806338
502 1.3814702
503 1.3942485
504 1.4133697
505 1.4561258
506 1.4516877
507 1.4545762
508 1.4463555
509 1.4523939
510 1.4623612
511 1.4924924
512 1.4978350
513 1.5002174
514 1.4596802
515 1.4931786
516 1.4532500
517 1.4481255
518 1.4411348
519 1.4378033
520 1.4520596
521 1.4566217
522 1.4586678
523 1.4732609
524 1.4944563
525 1.5249822
526 1.5293198
527 1.4934232
528 1.5003030
529 1.5145773
530 1.5322284
531 1.5290920
532 1.5246030
533 1.5244373
534 1.5140654
535 1.5094603
536 1.5238296
537 1.4989157
538 1.5256721
539 1.5417274
540 1.5702557
541 1.5655664
542 1.5758914
543 1.5262138
544 1.5401169
545 1.5424390
546 1.5542668
547 1.5735795
548 1.5781497
549 1.6038404
550 1.6096811
551 1.6095983
552 1.6056410
553 1.6279073
554 1.6292309
555 1.6336678
556 1.6500886
557 1.6470195
558 1.6533570
559 1.6888192
560 1.7042277
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