rumidas

Adds the MIxing-Data Sampling (MIDAS, Ghysels et al. (2007) doi:10.1080/07474930600972467) components to a variety of GARCH and MEM (Engle (2002) doi:10.1002/jae.683, Engle and Gallo (2006) doi:10.1016/j.jeconom.2005.01.018, and Amendola et al. (2024) doi:10.1016/j.seps.2023.101764) models, with the aim of predicting the volatility with additional low-frequency (that is, MIDAS) terms. The estimation takes place through simple functions, which provide in-sample and (if present) and out-of-sample evaluations. 'rumidas' also offers a summary tool, which synthesizes the main information of the estimated model. There is also the possibility of generating one-step-ahead and multi-step-ahead forecasts.

Last 30 days

This package has been downloaded 393 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 12 times.

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 3,107 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Sep 25, 2024 with 37 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.