exp_almon: Exponential Almon Lag

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

Exponential Almon Lag

Description

Represents a tool able to accommodate various lag structures for the additional MIDAS variable observed each "low-frequency" period t. It can have a monotonically increasing, decreasing weighting scheme or a hump-shaped weighting scheme. As in \insertCiteghysels_2007;textualrumidas, here the function form uses only two parameters:

\delta_k(\omega_1, \omega_2) = \frac{exp(\omega_{1}k + \omega_2 k^2)}{\sum_{k=1}^K exp(\omega_1 k + \omega_2 k^2)}.

For additional details, see \insertCitealmon_1965;textualrumidas and \insertCiteghysels_2007;textualrumidas.

Usage

exp_almon(k, K, w1, w2)

Arguments

k	Lag of interest.
K	Number of (lagged) realizations to consider.
w1, w2	Parameters governing the weights of each k lag.

Value

The weights associated to each lag k, with k=1,\cdots,K.

References

\insertAllCited

Examples

# suppose to have four lags: 
# K<-4 # Note: the number of lags to consider
# w1<-1	
# w2<- -0.5 # by setting w2<0, the monotonically decreasing weighting scheme is used
exp_almon(1:4,K=4,w1=0.1,w2=-0.5)

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