Man pages for rumidas
Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS
| beta_function | Beta function |
| DAGM_2M_cond_vol | DAGM-2M conditional volatility (with skewness) |
| DAGM_2M_cond_vol_no_skew | DAGM-2M conditional volatility (no skewness) |
| DAGM_2M_loglik | DAGM-2M log-likelihood (with skewness) |
| DAGM_2M_loglik_no_skew | DAGM-2M log-likelihood (without skewness) |
| DAGM_2M_long_run | DAGM-2M (daily) long-run volatility (with skewness) |
| DAGM_2M_long_run_no_skew | DAGM-2M (daily) long-run volatility (no skewness) |
| DAGM_cond_vol | DAGM conditional volatility (with skewness) |
| DAGM_cond_vol_no_skew | DAGM conditional volatility (no skewness) |
| DAGM_loglik | DAGM log-likelihood (with skewness) |
| DAGM_loglik_no_skew | DAGM log-likelihood (without skewness) |
| DAGM_long_run_vol | DAGM (daily) long-run volatility (with skewness) |
| DAGM_long_run_vol_no_skew | DAGM (daily) long-run volatility (no skewness) |
| DAGM_X_cond_vol | DAGM-X conditional volatility (with skewness) |
| DAGM_X_cond_vol_no_skew | DAGM-X conditional volatility (no skewness) |
| DAGM_X_loglik | DAGM-X log-likelihood (with skewness) |
| DAGM_X_loglik_no_skew | DAGM-X log-likelihood (no skewness) |
| DAGM_X_long_run_vol | DAGM-X (daily) long-run volatility (with skewness) |
| DAGM_X_long_run_vol_no_skew | DAGM-X (daily) long-run volatility (no skewness) |
| exp_almon | Exponential Almon Lag |
| GM_2M_cond_vol | GARCH-MIDAS-2M conditional volatility (with skewness) |
| GM_2M_cond_vol_no_skew | GARCH-MIDAS-2M conditional volatility (without skewness) |
| GM_2M_loglik | GARCH-MIDAS-2M log-likelihood (with skewness) |
| GM_2M_loglik_no_skew | GARCH-MIDAS-2M log-likelihood (without skewness) |
| GM_2M_long_run_vol | GARCH-MIDAS-2M long-run volatility (with skewness) |
| GM_2M_long_run_vol_no_skew | GARCH-MIDAS-2M long-run volatility (without skewness) |
| GM_cond_vol | GARCH-MIDAS conditional volatility (with skewness) |
| GM_cond_vol_no_skew | GARCH-MIDAS conditional volatility (without skewness) |
| GM_loglik | GARCH-MIDAS log-likelihood (with skewness) |
| GM_loglik_no_skew | GARCH-MIDAS log-likelihood (no skewness) |
| GM_long_run_vol | GARCH-MIDAS (daily) long-run (with skewness) |
| GM_long_run_vol_no_skew | GARCH-MIDAS (daily) long-run volatility (without skewness) |
| GM_X_cond_vol | GARCH-MIDAS-X conditional volatility (with skewness) |
| GM_X_cond_vol_no_skew | GARCH-MIDAS-X conditional volatility (without skewness) |
| GM_X_loglik | GARCH-MIDAS-X log-likelihood (with skewness) |
| GM_X_loglik_no_skew | GARCH-MIDAS-X log-likelihood (no skewness) |
| GM_X_long_run_vol | GARCH-MIDAS-X (daily) long-run (with skewness) |
| GM_X_long_run_vol_no_skew | GARCH-MIDAS-X (daily) long-run volatility (without skewness) |
| indpro | Monthly U.S. Industrial Production |
| Inf_criteria | Information Criteria |
| LF_f | Loss functions |
| MEM_loglik | MEM log-likelihood (with skewness parameter) |
| MEM_loglik_no_skew | MEM log-likelihood (no skewness parameter) |
| MEM_MIDAS_loglik | MEM-MIDAS log-likelihood (with skewness parameter) |
| MEM_MIDAS_loglik_no_skew | MEM-MIDAS log-likelihood (no skewness parameter) |
| MEM_MIDAS_lr_pred | MEM-MIDAS long-run one-step-ahead predictions (with skewness... |
| MEM_MIDAS_lr_pred_no_skew | MEM-MIDAS long-run one-step-ahead predictions (no skewness... |
| MEM_MIDAS_pred | MEM-MIDAS one-step-ahead predictions (with skewness... |
| MEM_MIDAS_pred_no_skew | MEM-MIDAS one-step-ahead predictions (no skewness parameter) |
| MEM_MIDAS_X_loglik | MEM-MIDAS-X log-likelihood (with skewness parameter) |
| MEM_MIDAS_X_loglik_no_skew | MEM-MIDAS-X log-likelihood (no skewness parameter) |
| MEM_MIDAS_X_lr_pred | MEM-MIDAS-X long-run one-step-ahead predictions (with... |
| MEM_MIDAS_X_lr_pred_no_skew | MEM-MIDAS-X long-run one-step-ahead predictions (no skewness... |
| MEM_MIDAS_X_pred | MEM-MIDAS-X one-step-ahead predictions (with skewness... |
| MEM_MIDAS_X_pred_no_skew | MEM-MIDAS-X one-step-ahead predictions (no skewness... |
| MEM_pred | MEM one-step-ahead predictions (with skewness parameter) |
| MEM_pred_no_skew | MEM one-step-ahead predictions (no skewness parameter) |
| MEM_QMLE_sd | Standard errors for the Quasi Maximum Likelihood estimator of... |
| MEM_X_loglik | MEM-X log-likelihood (with skewness parameter) |
| MEM_X_loglik_no_skew | MEM-X log-likelihood (no skewness parameter) |
| MEM_X_pred | MEM-X one-step-ahead predictions (with skewness parameter) |
| MEM_X_pred_no_skew | MEM-X one-step-ahead predictions (no skewness parameter) |
| multi_step_ahead_pred | Multi-step-ahead predictions of the GARCH-MIDAS-based models... |
| mv_into_mat | MIDAS variable matrix transformation |
| print.rumidas | Print method for 'rumidas' class |
| QMLE_sd | Standard errors for the Quasi Maximum Likelihood estimator of... |
| rv5 | S&P 500 realized variance at 5-minutes |
| sp500 | S&P 500 daily log-returns |
| summary.rumidas | Summary method for 'rumidas' class |
| sum_X_f | Summation function for the multi-step-ahead predictions of... |
| ugmfit | Methods for obtaining (and evaluating) a variety of... |
| umemfit | Methods for obtaining (and evaluating) a variety of... |
| vix | VIX daily data |
