README.md

In JasonZhang2333/GarchMidas: GarchMidas

GarchMidas

An R package for estimating GARCH-MIDAS models. The GARCH-MIDAS model decomposes the conditional variance of (daily) stock returns into a short- and long-term component, where the latter may depend on an exogenous covariate sampled at a lower frequency.

It's modified from mfGARCH.

Installation

# Install package via devtools
# install.packages("devtools")
library(devtools)
install_github("JasonZhang2333/GarchMidas")

Example

library(GarchMidas)
# epu
result <- fit_GarchMidas(data = epu, y = "return", x = "epu", low.freq = "month", K = 24)
print(result)
plot(result)

JasonZhang2333/GarchMidas documentation built on Dec. 3, 2019, 12:47 a.m.