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 |
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]