[aut,
cre]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.
| Version: | 0.1.8 |
| Depends: | R (≥ 3.3.0) |
| Imports: | Rcpp, graphics, stats, numDeriv, zoo, maxLik |
| LinkingTo: | Rcpp |
| Suggests: | testthat, dplyr, ggplot2, covr, rmarkdown |
| Published: | 2019-07-30 |
| Author: | Onno Kleen [aut,
cre] |
| Maintainer: | Onno Kleen <r at onnokleen.de> |
| BugReports: | https://github.com/onnokleen/mfGARCH/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/onnokleen/mfGARCH/ |
| NeedsCompilation: | yes |
| Citation: | mfGARCH citation info |
| Materials: | NEWS |
| CRAN checks: | mfGARCH results |
| Reference manual: | mfGARCH.pdf |
| Package source: | mfGARCH_0.1.8.tar.gz |
| Windows binaries: | r-devel: mfGARCH_0.1.8.zip, r-release: mfGARCH_0.1.8.zip, r-oldrel: mfGARCH_0.1.8.zip |
| OS X binaries: | r-release: mfGARCH_0.1.8.tgz, r-oldrel: mfGARCH_0.1.8.tgz |
| Old sources: | mfGARCH archive |
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