View source: R/simulate_mfgarch.R
simulate_mfgarch_rv_dependent | R Documentation |
Simulate a GARCH-MIDAS similar to Wang/Ghysels with lagged RVol as covariate
simulate_mfgarch_rv_dependent( n.days, mu, alpha, beta, gamma, m, theta, w1 = 1, w2, K, n.intraday = 288, low.freq = 1, rvol = FALSE )
n.days |
number of days |
mu |
mu |
alpha |
alpha |
beta |
beta |
gamma |
gamma |
m |
m |
theta |
theta |
w1 |
w1 |
w2 |
w2 |
K |
K |
n.intraday |
number of maximum intraday returns, default 288 |
low.freq |
number of days per low frequency |
rvol |
if TRUE, the square root of the realized variance is used as a covariate |
simulate_mfgarch_rv_dependent(n.days = 2200, mu = 0, alpha = 0.06, beta = 0.92, gamma = 0, m = 0, theta = 0.1, w1 = 1, w2 = 3, K = 3, low.freq = 22)
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