Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS

Adds the MIxing-Data Sampling (MIDAS, Ghysels et al. (2007) ) components to a variety of GARCH and MEM (Engle (2002) ) 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.


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install.packages("rumidas")

0.1.1 by Vincenzo Candila, 6 months ago


Browse source code at https://github.com/cran/rumidas


Authors: Vincenzo Candila [aut, cre]


Documentation:   PDF Manual  


GPL-3 license


Imports highfrequency, roll, xts, tseries, Rdpack, lubridate, zoo, stats, utils

Depends on maxLik

Suggests knitr, rmarkdown


Imported by dccmidas.


See at CRAN