harstep: HAR(3)-RV model MIDAS weights specification
In midasr: Mixed Data Sampling Regression
Description
Usage
Arguments
Details
Value
Author(s)
References
Description
HAR(3)-RV model MIDAS weights specification
Usage
1
harstep(p, d, m)
Arguments
p
parameters for Almon lag
d
number of the coefficients
m
the frequency, currently ignored.
Details
MIDAS weights for Heterogeneous Autoregressive model of Realized Volatilty (HAR-RV). It is assumed that month has 20 days.
Value
vector of coefficients
Author(s)
Virmantas Kvedaras, Vaidotas Zemlys
References
Corsi, F., A Simple Approximate Long-Memory Model of Realized Volatility, Journal of Financial Econometrics Vol. 7 No. 2 (2009) 174-196
midasr documentation built on Feb. 23, 2021, 5:11 p.m.
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Description Usage Arguments Details Value Author(s) References
Description
HAR(3)-RV model MIDAS weights specification
Usage
1 | harstep(p, d, m)
|
Arguments
p |
parameters for Almon lag |
d |
number of the coefficients |
m |
the frequency, currently ignored. |
Details
MIDAS weights for Heterogeneous Autoregressive model of Realized Volatilty (HAR-RV). It is assumed that month has 20 days.
Value
vector of coefficients
Author(s)
Virmantas Kvedaras, Vaidotas Zemlys
References
Corsi, F., A Simple Approximate Long-Memory Model of Realized Volatility, Journal of Financial Econometrics Vol. 7 No. 2 (2009) 174-196
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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