simulate_mfgarch_rv_dependent: Simulate a GARCH-MIDAS similar to Wang/Ghysels with lagged...

In mfGARCH: Mixed-Frequency GARCH Models

Description

Simulate a GARCH-MIDAS similar to Wang/Ghysels with lagged RVol as covariate

Usage

simulate_mfgarch_rv_dependent(
  n.days,
  mu,
  alpha,
  beta,
  gamma,
  m,
  theta,
  w1 = 1,
  w2,
  K,
  n.intraday = 288,
  low.freq = 1,
  rvol = FALSE
)

Arguments

n.days	number of days
mu	mu
alpha	alpha
beta	beta
gamma	gamma
m	m
theta	theta
w1	w1
w2	w2
K	K
n.intraday	number of maximum intraday returns, default 288
low.freq	number of days per low frequency
rvol	if TRUE, the square root of the realized variance is used as a covariate

Examples

simulate_mfgarch_rv_dependent(n.days = 2200, mu = 0, alpha = 0.06, beta = 0.92, gamma = 0, m = 0,
  theta = 0.1, w1 = 1, w2 = 3, K = 3, low.freq = 22)

mfGARCH documentation built on June 17, 2021, 5:15 p.m.