GM_long_run_vol {rumidas}R Documentation

GARCH-MIDAS (daily) long-run (with skewness)

Description

Obtains the estimated daily long-run volatility for the GARCH-MIDAS model, with an asymmetric term linked to past negative returns. For details, see Engle et al. (2013) and Conrad and Loch (2015).

Usage

GM_long_run_vol(param, daily_ret, mv_m, K, lag_fun = "Beta")

Arguments

param

Vector of estimated values.

daily_ret

Daily returns, which must be an "xts" object.

mv_m

MIDAS variable already transformed into a matrix, through mv_into_mat function.

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

Conrad C, Loch K (2015). “Anticipating Long-Term Stock Market Volatility.” Journal of Applied Econometrics, 30(7), 1090–1114. doi:10.1002/jae.2404.

Engle RF, Ghysels E, Sohn B (2013). “Stock market volatility and macroeconomic fundamentals.” Review of Economics and Statistics, 95(3), 776–797. doi:10.1162/REST_a_00300.

See Also

mv_into_mat.

Examples


# estimated volatility
est_val<-c(alpha=0.01,beta=0.8,gamma=0.05,m=2,theta=0.1,w2=2)
r_t<-sp500['/2010']
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
head(GM_long_run_vol(est_val,r_t,mv_m,K=12))


[Package rumidas version 0.1.3 Index]