GM_2M_cond_vol: GARCH-MIDAS-2M conditional volatility (with skewness)

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

GARCH-MIDAS-2M conditional volatility (with skewness)

Description

Obtains the conditional volatility of the GARCH-MIDAS with two low-frequency variables, with an asymmetric term linked to past negative returns. For details, see \insertCiteengle_ghysels_sohn_2013;textualrumidas and \insertCiteconrad_lock_2015;textualrumidas.

Usage

GM_2M_cond_vol(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 the conditional volatility for each i,t.

References

\insertAllCited

See Also

mv_into_mat.

Examples

est_val<-c(alpha=0.01,beta=0.8,gamma=0.05,m=0,theta_1=0.1,w2_1=2,theta_2=0.1,w2_2=2)
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(GM_2M_cond_vol(est_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.