DAGM_2M_long_run: DAGM-2M (daily) long-run volatility (with skewness)

In rumidas: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS

DAGM-2M (daily) long-run volatility (with skewness)

Description

Obtains the long-run volatility of the DAGM with two MIDAS variables. For details, see \insertCiteamendola_candila_gallo:2019;textualrumidas.

Usage

DAGM_2M_long_run(param, daily_ret, mv_m_1, mv_m_2, K_1, K_2, lag_fun = "Beta")

Arguments

param	Vector of starting values.
daily_ret	Daily returns, which must be an "xts" object.
mv_m_1	first MIDAS variable already transformed into a matrix, through mv_into_mat function.
mv_m_2	second MIDAS variable already transformed into a matrix, through mv_into_mat function.
K_1	Number of (lagged) realizations of the first MIDAS variable to consider.
K_2	Number of (lagged) realizations of the second MIDAS variable to consider.
lag_fun	optional. Lag function to use. Valid choices are "Beta" (by default) and "Almon", for the Beta and Exponential Almon lag functions, respectively.

Value

The resulting vector is an "xts" object representing the long-run volatility.

References

\insertAllCited

See Also

mv_into_mat.

Examples

start_val<-c(0.01,0.80,0.05,0.2,0.1,1.1,0.4,1.1,0.5,1.1,0,1.1)
r_t<-sp500['2005/2010']
mv_m_1<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
mv_m_2<-mv_into_mat(r_t,diff(indpro),K=24,"monthly")
head(DAGM_2M_long_run(start_val,r_t,mv_m_1,mv_m_2,K_1=12,K_2=24))

rumidas documentation built on April 4, 2025, 1:01 a.m.