sum_X_f {rumidas}R Documentation

Summation function for the multi-step-ahead predictions of the GARCH–MIDAS models with the '–X' part.

Description

For details, see Eq. (20) of Amendola et al. (2021).

Usage

sum_X_f(COEF, DELTA, H)

Arguments

COEF

The sum of the parameters alpha, \beta, and \gamma/2, if present.

DELTA

The AR coefficient.

H

The length of the multi-step-ahead predictions.

Value

The vector of the summation for each H.

References

Amendola A, Candila V, Gallo GM (2021). “Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model.” Economic and Statistics. doi:10.1016/j.ecosta.2020.11.001.


[Package rumidas version 0.1.2 Index]