DAGM_X_long_run_vol {rumidas} | R Documentation |
Obtains the daily long-run volatility for the DAGM-X, with an asymmetric term linked to past negative returns. For details, see Amendola et al. (2019).
DAGM_X_long_run_vol(param, daily_ret, X, mv_m, K, lag_fun = "Beta")
param |
Vector of estimated values. It must be a eight- or nine- dimensional vector. See the examples below. |
daily_ret |
Daily returns, which must be an "xts" object. |
X |
Additional "X" variable, which must be an "xts" object. Morever, "X" must be observed for the same days of daily_ret. |
mv_m |
MIDAS variable already transformed into a matrix, through |
K |
Number of (lagged) realizations of the MIDAS variable to consider. |
lag_fun |
optional. Lag function to use. Valid choices are "Beta" (by default) and "Almon", for the Beta and Exponential Almon lag functions, respectively. |
The resulting vector is an "xts" object representing the conditional volatility.
Amendola A, Candila V, Gallo GM (2019). “On the asymmetric impact of macro–variables on volatility.” Economic Modelling, 76, 135–152. doi:10.1016/j.econmod.2018.07.025.
est_val<-c(0.01,0.80,0.05,0.05,0,0.1,1.1,-0.3,1.1)
r_t<-sp500['/2010']
X<-rv5['/2010']^0.5
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
head(DAGM_X_long_run_vol(est_val,r_t,X,mv_m,K=12))