simulate_mfgarch_diffusion: This function simulates a GARCH-MIDAS model where the...

In onnokleen/mfGARCH: Mixed-Frequency GARCH Models

This function simulates a GARCH-MIDAS model where the short-term GARCH component is replaced by its diffusion limit, see Andersen (1998)

Description

This function simulates a GARCH-MIDAS model where the short-term GARCH component is replaced by its diffusion limit, see Andersen (1998)

Usage

simulate_mfgarch_diffusion(
  n.days,
  mu,
  alpha,
  beta,
  m,
  theta,
  w1 = 1,
  w2,
  K,
  psi,
  sigma.psi,
  low.freq = 1,
  n.intraday = 288
)

Arguments

n.days	number of days
mu	mu
alpha	alpha
beta	beta
m	m
theta	theta
w1	w1
w2	w2
K	K
psi	psi
sigma.psi	sigma.psi
low.freq	low.freq
n.intraday	n.intraday

Examples

## Not run: simulate_mfgarch_diffusion(n.days = 200, mu = 0, alpha = 0.06, beta = 0.92, m = 0,
theta = 0.1, w1 = 1, w2 = 3, K = 12, psi = 0.98, sigma.psi = 0.1, low.freq = 10)
## End(Not run)

onnokleen/mfGARCH documentation built on Feb. 6, 2023, 12:10 p.m.