GM_2M_long_run_vol: GARCH-MIDAS-2M long-run volatility (with skewness)

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

GARCH-MIDAS-2M long-run volatility (with skewness)

Description

Obtains the long-run 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_long_run_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 long-run volatility for each i,t.

References

\insertAllCited

See Also

mv_into_mat.

Examples

# conditional density of the innovations: normal
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_long_run_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.