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rumidas  

Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("rumidas", "0.1.2")



Attach the package and use:
library("rumidas")
Maintained by
Vincenzo Candila
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-09-22
Latest Update: 2024-02-17
Description:
Adds the MIxing-Data Sampling (MIDAS, Ghysels et al. (2007) ) components to a variety of GARCH and MEM (Engle (2002) , Engle and Gallo (2006) , and Amendola et al. (2024) ) 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.
How to cite:
Vincenzo Candila (2020). rumidas: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS. R package version 0.1.2, https://cran.r-project.org/web/packages/rumidas. Accessed 05 Jan. 2025.
Previous versions and publish date:
0.1.0 (2020-09-22 10:50), 0.1.1 (2021-02-01 18:00)
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