DAGM_cond_vol: DAGM conditional volatility (with skewness)

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

DAGM conditional volatility (with skewness)

Description

Obtains the conditional volatility for the DAGM, with an asymmetric term linked to past negative returns. For details, see \insertCiteamendola_candila_gallo:2019;textualrumidas.

Usage

DAGM_cond_vol(param, daily_ret, mv_m, K, lag_fun = "Beta")

Arguments

param	Vector of estimated values. It must be a eight- or nine- dimensional vector. See the examples below.
daily_ret	Daily returns, which must be an "xts" object.
mv_m	MIDAS variable already transformed into a matrix, through mv_into_mat function.
K	Number of (lagged) realizations of the 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 conditional volatility.

References

\insertAllCited

See Also

mv_into_mat.

Examples

# estimated volatility 
est_val<-c(0.01,0.80,0.05,0,0.1,1.1,-0.3,1.1)
r_t<-sp500['2005/2010']
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
vol<-DAGM_cond_vol(est_val,r_t,mv_m,K=12)
head(vol)

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