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 391 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 24 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 3,105 times in the last 365 days. Consider this 'mid-tier influencer' status—if it were a TikTok, it would get a nod from nieces and nephews. 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.