Description Usage Arguments Examples
View source: R/simulate_mfgarch_diffusion.R
This function simulates a GARCH-MIDAS model where the short-term GARCH component is replaced by its diffusion limit, see Andersen (1998)
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | simulate_mfgarch_diffusion(
n.days,
mu,
alpha,
beta,
m,
theta,
w1 = 1,
w2,
K,
psi,
sigma.psi,
low.freq = 1,
n.intraday = 288
)
|
n.days |
number of days |
mu |
mu |
alpha |
alpha |
beta |
beta |
m |
m |
theta |
theta |
w1 |
w1 |
w2 |
w2 |
K |
K |
psi |
psi |
sigma.psi |
sigma.psi |
low.freq |
low.freq |
n.intraday |
n.intraday |
1 2 3 | ## Not run: simulate_mfgarch_diffusion(n.days = 200, mu = 0, alpha = 0.06, beta = 0.92, m = 0,
theta = 0.1, w1 = 1, w2 = 3, K = 12, psi = 0.98, sigma.psi = 0.1, low.freq = 10)
## End(Not run)
|
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