Package: rumidas 0.1.2

Vincenzo Candila

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.

Authors:Vincenzo Candila [aut, cre]

rumidas_0.1.2.tar.gz
rumidas_0.1.2.tar.gz(r-4.5-noble)rumidas_0.1.2.tar.gz(r-4.4-noble)
rumidas_0.1.2.tgz(r-4.4-emscripten)rumidas_0.1.2.tgz(r-4.3-emscripten)
rumidas.pdf |rumidas.html✨
rumidas/json (API)
NEWS

# Install 'rumidas' in R:
install.packages('rumidas', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • indpro - Monthly U.S. Industrial Production
  • rv5 - S&P 500 realized variance at 5-minutes
  • sp500 - S&P 500 daily log-returns
  • vix - VIX daily data

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.78 score 10 stars 2 packages 2 scripts 255 downloads 58 exports 23 dependencies

Last updated 9 months agofrom:a4b2b6d6de. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 14 2024
R-4.5-linuxOKNov 14 2024

Exports:beta_functionDAGM_2M_cond_volDAGM_2M_cond_vol_no_skewDAGM_2M_loglikDAGM_2M_loglik_no_skewDAGM_2M_long_runDAGM_2M_long_run_no_skewDAGM_cond_volDAGM_cond_vol_no_skewDAGM_loglikDAGM_loglik_no_skewDAGM_long_run_volDAGM_long_run_vol_no_skewDAGM_X_cond_volDAGM_X_cond_vol_no_skewDAGM_X_loglikDAGM_X_loglik_no_skewDAGM_X_long_run_volDAGM_X_long_run_vol_no_skewexp_almonGM_cond_volGM_cond_vol_no_skewGM_loglikGM_loglik_no_skewGM_long_run_volGM_long_run_vol_no_skewGM_X_cond_volGM_X_cond_vol_no_skewGM_X_loglikGM_X_loglik_no_skewGM_X_long_run_volGM_X_long_run_vol_no_skewMEM_loglikMEM_loglik_no_skewMEM_MIDAS_loglikMEM_MIDAS_loglik_no_skewMEM_MIDAS_lr_predMEM_MIDAS_lr_pred_no_skewMEM_MIDAS_predMEM_MIDAS_pred_no_skewMEM_MIDAS_X_loglikMEM_MIDAS_X_loglik_no_skewMEM_MIDAS_X_lr_predMEM_MIDAS_X_lr_pred_no_skewMEM_MIDAS_X_predMEM_MIDAS_X_pred_no_skewMEM_predMEM_pred_no_skewMEM_X_loglikMEM_X_loglik_no_skewMEM_X_predMEM_X_pred_no_skewmulti_step_ahead_predmv_into_matprint.rumidassummary.rumidasugmfitumemfit

Dependencies:cpp11curldigestgenericsjsonlitelatticelubridatemaxLikmiscToolsquadprogquantmodrbibutilsRcppRcppArmadilloRcppParallelRdpackrollsandwichtimechangetseriesTTRxtszoo