RealizedEst {GARCHIto} | R Documentation |
Estimate model parameters for the Realized GARCH-Ito Model
RealizedEst(RV = RV, JV = NULL)
RV |
Time series of daily realized volatilities. |
JV |
Time series of daily jump variations, |
Estimated parameter values and daily conditional volatilities:
parameter estimates of the realized GARCH-Ito model
daily conditional volatility estimates of the realized GARCH-Ito model
one-step-ahead predicted volatility value
Song, X., Kim, D., Yuan, H., Cui, X., Lu, Z., Zhou, Y., & Wang, Y. (2020). Volatility Analysis with Realized GARCH-Ito Models. Journal of Econometrics, in press.
sample_data
RealizedEst(sample_data$RV)
RealizedEst(sample_data$BPV, sample_data$JV)