DAGM_X_cond_vol_no_skew {rumidas} | R Documentation |
DAGM-X conditional volatility (no skewness)
Description
Obtains the conditional volatility for the DAGM-X. For details, see Amendola et al. (2019).
Usage
DAGM_X_cond_vol_no_skew(param, daily_ret, X, mv_m, K, lag_fun = "Beta")
Arguments
param |
Vector of estimated values. |
daily_ret |
Daily returns, which must be an "xts" object. |
X |
Additional "X" variable, which must be an "xts" object. Morever, "X" must be observed for the same days of daily_ret. |
mv_m |
MIDAS variable already transformed into a matrix, through |
K |
Number of (lagged) realizations of the MIDAS variable to consider. |
lag_fun |
optional. Lag function to use. Valid choices are "Beta" (by default) and "Almon", for the Beta and Exponential Almon lag functions, respectively. |
Value
The resulting vector is an "xts" object representing the conditional volatility.
References
Amendola A, Candila V, Gallo GM (2019). “On the asymmetric impact of macro–variables on volatility.” Economic Modelling, 76, 135–152. doi:10.1016/j.econmod.2018.07.025.
See Also
Examples
# estimated volatility
est_val<-c(0.01,0.80,0.05,0,0.1,1.1,-0.3,1.1)
r_t<-sp500['2005/2010']
X<-rv5['2005/2010']^0.5
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
vol<-DAGM_X_cond_vol_no_skew(est_val,r_t,X,mv_m,K=12)
head(vol)