DAGM_X_long_run_vol {rumidas}R Documentation

DAGM-X (daily) long-run volatility (with skewness)

Description

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).

Usage

DAGM_X_long_run_vol(param, daily_ret, X, mv_m, K, lag_fun = "Beta")

Arguments

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 mv_into_mat function.

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.

Value

The resulting vector is an "xts" object representing the conditional volatility.

References

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.

See Also

mv_into_mat.

Examples


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))


[Package rumidas version 0.1.2 Index]