DAGM_long_run_vol {rumidas} | R Documentation |
DAGM (daily) long-run volatility (with skewness)
Description
Obtains the daily long-run volatility for the DAGM, with an asymmetric term linked to past negative returns. For details, see Amendola et al. (2019).
Usage
DAGM_long_run_vol(param, daily_ret, mv_m, K, lag_fun = "Beta")
Arguments
param |
Vector of estimated values. It must be a eight- or nine- dimensional vector. See the examples below. |
daily_ret |
Daily returns, which must be an "xts" object. |
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
est_val<-c(0.01,0.80,0.05,0,0.1,1.1,-0.3,1.1)
r_t<-sp500['/2010']
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
head(DAGM_long_run_vol(est_val,r_t,mv_m,K=12))