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.

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