fit_GarchMidas: This function estimates a multiplicative mixed-frequency...

In JasonZhang2333/GarchMidas: GarchMidas

Description

This function estimates a multiplicative mixed-frequency GARCH model. For the sake of numerical stability, it is best to multiply log returns by 100.

Usage

fit_GarchMidas(data, y, x, K, freq = "month", GJR = FALSE)

Arguments

data	data frame containing a column named date of type 'Date'.
y	name of high frequency dependent variable in df.
x	covariate employed in GarchMidas.
K	an integer specifying lag length K in the long-term component.
freq	a string of the low frequency variable in the df.
GJR	if TRUE, an asymmetric GJR-GARCH is used as the short-term component. If FALSE, a simple GARCH(1,1) is employed.

Examples

## Not run: 
fit_GarchMidas(data = mu, y = "return", x = "epu", K = 24, freq = "month", GJR = TRUE)

## End(Not run)

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