onnokleen/mfGARCH: Mixed-Frequency GARCH Models

Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, <doi:10.1162/REST_a_00300>) and related statistical inference, accompanying the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" by Conrad and Kleen (2018, <doi:10.2139/ssrn.2752354>). 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.

Getting started

Package details

LicenseMIT + file LICENSE
URL https://github.com/onnokleen/mfGARCH/
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
onnokleen/mfGARCH documentation built on Sept. 30, 2018, 9:56 a.m.