mfGARCH
Mixed-Frequency GARCH Models
Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, <doi:10.1162/REST_a_00300>) and related statistical inference, accompanying the paper "Two are better than one: Volatility forecasting using multiplicative component GARCH models" by Conrad and Kleen (2020, <doi:10.1002/jae.2742>). 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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.2.2 |
rolling linux/jammy R-4.5 | mfGARCH_0.2.2.tar.gz |
533.3 KiB |
0.2.2 |
rolling linux/noble R-4.5 | mfGARCH_0.2.2.tar.gz |
534.4 KiB |
0.2.2 |
rolling source/ R- | mfGARCH_0.2.2.tar.gz |
444.0 KiB |
0.2.2 |
latest linux/jammy R-4.5 | mfGARCH_0.2.2.tar.gz |
533.3 KiB |
0.2.2 |
latest linux/noble R-4.5 | mfGARCH_0.2.2.tar.gz |
534.4 KiB |
0.2.2 |
latest source/ R- | mfGARCH_0.2.2.tar.gz |
444.0 KiB |
0.2.2 |
2026-04-26 source/ R- | mfGARCH_0.2.2.tar.gz |
444.0 KiB |
0.2.2 |
2026-04-23 source/ R- | mfGARCH_0.2.2.tar.gz |
444.0 KiB |
0.2.2 |
2026-04-09 windows/windows R-4.5 | mfGARCH_0.2.2.zip |
856.1 KiB |
0.2.1 |
2025-04-20 source/ R- | mfGARCH_0.2.1.tar.gz |
443.4 KiB |