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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:

Please use the canonical form https://CRAN.R-project.org/package=rumidas to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.