GM_long_run_vol {rumidas} | R Documentation |
GARCH-MIDAS (daily) long-run (with skewness)
Description
Obtains the estimated daily long-run volatility for the GARCH-MIDAS model, with an asymmetric term linked to past negative returns. For details, see Engle et al. (2013) and Conrad and Loch (2015).
Usage
GM_long_run_vol(param, daily_ret, mv_m, K, lag_fun = "Beta")
Arguments
param |
Vector of estimated values. |
daily_ret |
Daily returns, which must be an "xts" object. |
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. |
Value
The resulting vector is an "xts" object representing the conditional volatility.
References
Conrad C, Loch K (2015).
“Anticipating Long-Term Stock Market Volatility.”
Journal of Applied Econometrics, 30(7), 1090–1114.
doi:10.1002/jae.2404.
Engle RF, Ghysels E, Sohn B (2013).
“Stock market volatility and macroeconomic fundamentals.”
Review of Economics and Statistics, 95(3), 776–797.
doi:10.1162/REST_a_00300.
See Also
Examples
# estimated volatility
est_val<-c(alpha=0.01,beta=0.8,gamma=0.05,m=2,theta=0.1,w2=2)
r_t<-sp500['/2010']
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
head(GM_long_run_vol(est_val,r_t,mv_m,K=12))