mfGARCH

Mixed-Frequency GARCH Models

CRAN Package

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.


Documentation


Team


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.

Sun
Mon
Tue
Wed
Thu
Fri
Sat
0 downloadsMar 2, 2025
0 downloadsMar 3, 2025
31 downloadsMar 4, 2025
25 downloadsMar 5, 2025
7 downloadsMar 6, 2025
5 downloadsMar 7, 2025
5 downloadsMar 8, 2025
6 downloadsMar 9, 2025
3 downloadsMar 10, 2025
19 downloadsMar 11, 2025
8 downloadsMar 12, 2025
12 downloadsMar 13, 2025
4 downloadsMar 14, 2025
24 downloadsMar 15, 2025
5 downloadsMar 16, 2025
4 downloadsMar 17, 2025
11 downloadsMar 18, 2025
31 downloadsMar 19, 2025
19 downloadsMar 20, 2025
15 downloadsMar 21, 2025
10 downloadsMar 22, 2025
8 downloadsMar 23, 2025
9 downloadsMar 24, 2025
4 downloadsMar 25, 2025
14 downloadsMar 26, 2025
6 downloadsMar 27, 2025
31 downloadsMar 28, 2025
13 downloadsMar 29, 2025
6 downloadsMar 30, 2025
4 downloadsMar 31, 2025
8 downloadsApr 1, 2025
8 downloadsApr 2, 2025
0 downloadsApr 3, 2025
0 downloadsApr 4, 2025
0 downloadsApr 5, 2025
3
31

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

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.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


Binaries


Dependencies

  • Imports4 packages
  • Suggests5 packages
  • Linking To1 package