mfGARCH (0.1.9)

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Mixed-Frequency GARCH Models.

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] (<>)

License: MIT + file LICENSE

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

Released about 1 month ago.

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