rumidas (Q128847): Difference between revisions
From MaRDI portal
Removed claim: imports (P585): zoo (Q22562) |
Added link to MaRDI item. |
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Property / last update | |||||||||||||||
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Property / last update: 1 February 2021 / rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: MIDAS Regressions: Further Results and New Directions / rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: New frontiers for arch models / rank | |||||||||||||||
Property / software version identifier | |||||||||||||||
0.1.0 | |||||||||||||||
Property / software version identifier: 0.1.0 / rank | |||||||||||||||
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Property / software version identifier: 0.1.0 / qualifier | |||||||||||||||
publication date: 22 September 2020
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0.1.2 | |||||||||||||||
Property / software version identifier: 0.1.2 / rank | |||||||||||||||
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Property / software version identifier: 0.1.2 / qualifier | |||||||||||||||
publication date: 17 February 2024
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Property / last update | |||||||||||||||
17 February 2024
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Property / last update: 17 February 2024 / rank | |||||||||||||||
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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. | |||||||||||||||
Property / description: 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. / rank | |||||||||||||||
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Property / author | |||||||||||||||
Property / author: Vincenzo Candila / rank | |||||||||||||||
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Property / copyright license | |||||||||||||||
Property / copyright license: GNU General Public License, version 3.0 / rank | |||||||||||||||
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Property / depends on software | |||||||||||||||
Property / depends on software: maxLik / rank | |||||||||||||||
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Property / depends on software: maxLik / qualifier | |||||||||||||||
software version identifier: ≥ 1.3-8 | |||||||||||||||
Property / depends on software | |||||||||||||||
Property / depends on software: R / rank | |||||||||||||||
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Property / depends on software: R / qualifier | |||||||||||||||
software version identifier: ≥ 4.0.0 | |||||||||||||||
Property / imports | |||||||||||||||
Property / imports: roll / rank | |||||||||||||||
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Property / imports: roll / qualifier | |||||||||||||||
software version identifier: ≥ 1.1.4 | |||||||||||||||
Property / imports | |||||||||||||||
Property / imports: xts / rank | |||||||||||||||
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Property / imports: xts / qualifier | |||||||||||||||
software version identifier: ≥ 0.12.0 | |||||||||||||||
Property / imports | |||||||||||||||
Property / imports: tseries / rank | |||||||||||||||
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Property / imports: tseries / qualifier | |||||||||||||||
software version identifier: ≥ 0.10.47 | |||||||||||||||
Property / imports | |||||||||||||||
Property / imports: Rdpack / rank | |||||||||||||||
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Property / imports: Rdpack / qualifier | |||||||||||||||
software version identifier: ≥ 1.0.0 | |||||||||||||||
Property / imports | |||||||||||||||
Property / imports: lubridate / rank | |||||||||||||||
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Property / imports: lubridate / qualifier | |||||||||||||||
software version identifier: ≥ 1.7.9 | |||||||||||||||
Property / imports | |||||||||||||||
Property / imports: zoo / rank | |||||||||||||||
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Property / imports: zoo / qualifier | |||||||||||||||
software version identifier: ≥ 1.8.8 | |||||||||||||||
Property / imports | |||||||||||||||
Property / imports: stats / rank | |||||||||||||||
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Property / imports: stats / qualifier | |||||||||||||||
software version identifier: ≥ 4.0.2 | |||||||||||||||
Property / imports | |||||||||||||||
Property / imports: utils / rank | |||||||||||||||
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Property / imports: utils / qualifier | |||||||||||||||
software version identifier: ≥ 4.0.2 | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: MIDAS Regressions: Further Results and New Directions / rank | |||||||||||||||
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Property / cites work | |||||||||||||||
Property / cites work: New frontiers for arch models / rank | |||||||||||||||
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Property / cites work | |||||||||||||||
Property / cites work: A multiple indicators model for volatility using intra-daily data / rank | |||||||||||||||
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Property / cites work: Doubly multiplicative error models with long- and short-run components / rank | |||||||||||||||
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Property / MaRDI profile type | |||||||||||||||
Property / MaRDI profile type: MaRDI software profile / rank | |||||||||||||||
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links / mardi / name | links / mardi / name | ||||||||||||||
Latest revision as of 19:56, 12 March 2024
Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS
Language | Label | Description | Also known as |
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English | rumidas |
Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS |
Statements
17 February 2024
0 references
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.
0 references