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mfGARCH  

Mixed-Frequency GARCH Models
View on CRAN: Click here


Download and install mfGARCH package within the R console
Install from CRAN:
install.packages("mfGARCH")

Install from Github:
library("remotes")
install_github("cran/mfGARCH")

Install by package version:
library("remotes")
install_version("mfGARCH", "0.2.1")



Attach the package and use:
library("mfGARCH")
Maintained by
Onno Kleen
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-02-19
Latest Update: 2021-06-17
Description:
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 (2020, ). 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.
How to cite:
Onno Kleen (2018). mfGARCH: Mixed-Frequency GARCH Models. R package version 0.2.1, https://cran.r-project.org/web/packages/mfGARCH. Accessed 22 Dec. 2024.
Previous versions and publish date:
0.1.2 (2018-02-19 11:27), 0.1.3 (2018-05-24 18:41), 0.1.4 (2018-06-19 16:53), 0.1.5 (2018-06-28 20:37), 0.1.7 (2018-08-06 15:40), 0.1.8 (2019-07-30 12:20), 0.1.9 (2019-12-04 19:00), 0.2.0 (2020-05-13 01:40)
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