rumidas: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS

Adds the MIxing-Data Sampling (MIDAS, Ghysels et al. (2007) <doi:10.1080/07474930600972467>) components to a variety of GARCH and MEM (Engle (2002) <doi:10.1002/jae.683>, Engle and Gallo (2006) <doi:10.1016/j.jeconom.2005.01.018>, and Amendola et al. (2024) <doi:10.1016/j.seps.2023.101764>) models, with the aim of predicting the volatility with additional low-frequency (that is, MIDAS) terms. The estimation takes place through simple functions, which provide in-sample and (if present) and out-of-sample evaluations. 'rumidas' also offers a summary tool, which synthesizes the main information of the estimated model. There is also the possibility of generating one-step-ahead and multi-step-ahead forecasts.

Version:	0.1.2
Depends:	R (≥ 4.0.0), maxLik (≥ 1.3-8)
Imports:	roll (≥ 1.1.4), xts (≥ 0.12.0), tseries (≥ 0.10.47), Rdpack (≥ 1.0.0), lubridate (≥ 1.7.9), zoo (≥ 1.8.8), stats (≥ 4.0.2), utils (≥ 4.0.2)
Suggests:	knitr, rmarkdown
Published:	2024-02-17
DOI:	10.32614/CRAN.package.rumidas
Author:	Vincenzo Candila [aut, cre]
Maintainer:	Vincenzo Candila <vcandila at unisa.it>
License:	GPL-3
NeedsCompilation:	no
Citation:	rumidas citation info
Materials:	NEWS
CRAN checks:	rumidas results

Documentation:

Reference manual:

rumidas.pdf

Downloads:

Package source:	rumidas_0.1.2.tar.gz
Windows binaries:	r-devel: rumidas_0.1.2.zip, r-release: rumidas_0.1.2.zip, r-oldrel: rumidas_0.1.2.zip
macOS binaries:	r-release (arm64): rumidas_0.1.2.tgz, r-oldrel (arm64): rumidas_0.1.2.tgz, r-release (x86_64): rumidas_0.1.2.tgz, r-oldrel (x86_64): rumidas_0.1.2.tgz
Old sources:	rumidas archive

Reverse dependencies:

Reverse imports:

dccmidas, PWEV

Linking:

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