DAGM_2M_long_run_no_skew {rumidas} | R Documentation |
DAGM-2M (daily) long-run volatility (no skewness)
Description
Obtains the long-run volatility of the DAGM with two MIDAS variables. For details, see Amendola et al. (2019).
Usage
DAGM_2M_long_run_no_skew(
param,
daily_ret,
mv_m_1,
mv_m_2,
K_1,
K_2,
lag_fun = "Beta"
)
Arguments
param |
Vector of starting values. |
daily_ret |
Daily returns, which must be an "xts" object. |
mv_m_1 |
first MIDAS variable already transformed into a matrix, through |
mv_m_2 |
second MIDAS variable already transformed into a matrix, through |
K_1 |
Number of (lagged) realizations of the first MIDAS variable to consider. |
K_2 |
Number of (lagged) realizations of the second 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 long-run 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
start_val<-c(0.01,0.80,0.2,0.1,1.1,0.4,1.1,0.5,1.1,0,1.1)
r_t<-sp500['2005/2010']
mv_m_1<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
mv_m_2<-mv_into_mat(r_t,diff(indpro),K=24,"monthly")
head(DAGM_2M_long_run_no_skew(start_val,r_t,mv_m_1,mv_m_2,K_1=12,K_2=24))