rumidas
Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS
Adds the MIxing-Data Sampling (MIDAS, Ghysels et al. (2007) <doi:10.1080/07474930600972467>) components to a variety of GARCH and MEM (Engle (2002) <doi:10.1002/jae.683>, Engle and Gallo (2006) <doi:10.1016/j.jeconom.2005.01.018>, and Amendola et al. (2024) <doi:10.1016/j.seps.2023.101764>) 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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.3 |
rolling linux/jammy R-4.5 | rumidas_0.1.3.tar.gz |
591.7 KiB |
0.1.3 |
rolling linux/noble R-4.5 | rumidas_0.1.3.tar.gz |
591.7 KiB |
0.1.3 |
rolling source/ R- | rumidas_0.1.3.tar.gz |
276.5 KiB |
0.1.3 |
latest linux/jammy R-4.5 | rumidas_0.1.3.tar.gz |
591.7 KiB |
0.1.3 |
latest linux/noble R-4.5 | rumidas_0.1.3.tar.gz |
591.7 KiB |
0.1.3 |
latest source/ R- | rumidas_0.1.3.tar.gz |
276.5 KiB |
0.1.3 |
2026-04-26 source/ R- | rumidas_0.1.3.tar.gz |
276.5 KiB |
0.1.3 |
2026-04-23 source/ R- | rumidas_0.1.3.tar.gz |
276.5 KiB |
0.1.3 |
2026-04-09 windows/windows R-4.5 | rumidas_0.1.3.zip |
594.4 KiB |
0.1.3 |
2025-04-20 source/ R- | rumidas_0.1.3.tar.gz |
276.5 KiB |