mfGARCH (0.1.8)

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Mixed-Frequency GARCH Models.

https://github.com/onnokleen/mfGARCH/
http://cran.r-project.org/web/packages/mfGARCH

Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, ) and related statistical inference, accompanying the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" by Conrad and Kleen (2018, ). 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.

Maintainer: Onno Kleen
Author(s): Onno Kleen [aut, cre] (<https://orcid.org/0000-0003-4731-4640>)

License: MIT + file LICENSE

Uses: maxLik, numDeriv, Rcpp, zoo, ggplot2, testthat, dplyr, rmarkdown, covr

Released 3 months ago.


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