mfGARCH
Mixed-Frequency GARCH Models
Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, doi:10.1162/REST_a_00300) and related statistical inference, accompanying the paper "Two are better than one: Volatility forecasting using multiplicative component GARCH models" by Conrad and Kleen (2020, doi:10.1002/jae.2742). The GARCH-MIDAS model decomposes the conditional variance of (daily) stock returns into a short- and long-term component, where the latter may depend on an exogenous covariate sampled at a lower frequency.
- Version0.2.1
- R versionunknown
- LicenseMIT
- LicenseLICENSE
- Needs compilation?Yes
- mfGARCH citation info
- Last release06/17/2021
Documentation
Team
Onno Kleen
Insights
Last 30 days
This package has been downloaded 355 times in the last 30 days. Enough downloads to make a small wave in the niche community. The curiosity is spreading! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 8 times.
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Last 365 days
This package has been downloaded 4,303 times in the last 365 days. That's enough downloads to impress a room full of undergrads. A commendable achievement indeed. The day with the most downloads was Feb 19, 2025 with 46 downloads.
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Dependencies
- Imports4 packages
- Suggests5 packages
- Linking To1 package