DAGM_X_cond_vol {rumidas} | R Documentation |
DAGM-X conditional volatility (with skewness)
Description
Obtains the conditional volatility for the DAGM-X, with an asymmetric term linked to past negative returns. For details, see Amendola et al. (2019).
Usage
DAGM_X_cond_vol(param, daily_ret, X, mv_m, K, lag_fun = "Beta")
Arguments
param |
Vector of estimated values. |
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. |
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
Examples
# estimated volatility
est_val<-c(0.01,0.80,0.05,0.05,0,0.1,1.1,-0.3,1.1)
r_t<-sp500['2005/2010']
X<-rv5['2005/2010']^0.5
mv_m<-mv_into_mat(r_t,diff(indpro),K=12,"monthly")
vol<-DAGM_X_cond_vol(est_val,r_t,X,mv_m,K=12)
head(vol)