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rumidas
View on CRAN: Click
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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
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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.
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Other R packages that rumidas depends,
imports, suggests or enhances
Complete documentation for rumidas
Functions, R codes and Examples using
the rumidas R package
Some associated functions: DAGM_X_cond_vol . DAGM_X_cond_vol_no_skew . DAGM_X_loglik . DAGM_X_loglik_no_skew . DAGM_X_long_run_vol . DAGM_X_long_run_vol_no_skew . DAGM_cond_vol . DAGM_cond_vol_no_skew . DAGM_loglik . DAGM_loglik_no_skew . DAGM_long_run_vol . DAGM_long_run_vol_no_skew . GM_X_cond_vol . GM_X_cond_vol_no_skew . GM_X_loglik . GM_X_loglik_no_skew . GM_X_long_run_vol . GM_X_long_run_vol_no_skew . GM_cond_vol . GM_cond_vol_no_skew . GM_loglik . GM_loglik_no_skew . GM_long_run_vol . GM_long_run_vol_no_skew . Inf_criteria . LF_f . MEM_MIDAS_X_loglik . MEM_MIDAS_X_loglik_no_skew . MEM_MIDAS_X_lr_pred . MEM_MIDAS_X_lr_pred_no_skew . MEM_MIDAS_X_pred . MEM_MIDAS_X_pred_no_skew . MEM_MIDAS_loglik . MEM_MIDAS_loglik_no_skew . MEM_MIDAS_lr_pred . MEM_MIDAS_lr_pred_no_skew . MEM_MIDAS_pred . MEM_MIDAS_pred_no_skew . MEM_QMLE_sd . MEM_X_loglik . MEM_X_loglik_no_skew . MEM_X_pred . MEM_X_pred_no_skew . MEM_loglik . MEM_loglik_no_skew . MEM_pred . MEM_pred_no_skew . QMLE_sd . beta_function . exp_almon . indpro . multi_step_ahead_pred . mv_into_mat . print.rumidas . rv5 . sp500 . sum_X_f . summary.rumidas . ugmfit . umemfit . vix .
Some associated R codes: data.R . functions.R . midas_functions.R . Full rumidas package functions and examples
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