GM_long_run_vol: GARCH-MIDAS (daily) long-run (with skewness)

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

GARCH-MIDAS (daily) long-run (with skewness)

Description

Obtains the estimated daily long-run volatility for the GARCH-MIDAS model, with an asymmetric term linked to past negative returns. For details, see \insertCiteengle_ghysels_sohn_2013;textualrumidas and \insertCiteconrad_lock_2015;textualrumidas.

Usage

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

Arguments

param	Vector of estimated values.
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(alpha=0.01,beta=0.8,gamma=0.05,m=2,theta=0.1,w2=2)
r_t<-sp500['/2010']
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
head(GM_long_run_vol(est_val,r_t,mv_m,K=12))

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