mfGARCH:使用混合频率GARCH模型的R包-源码

上传者: 42099815 | 上传时间: 2021-09-07 11:59:52 | 文件大小: 30.38MB | 文件类型: ZIP
R
mfGARCH-混频GARCH模型 用于估计GARCH-MIDAS(混合DAta采样)模型的R包(Engle,Ghysels和Sohn,2013年, )和相关的统计推断,随附论文“两个比一个更好:使用乘法的波动率预测组件GARCH模型”(康拉德和克莱恩(2020, )。 GARCH-MIDAS模型将(每日)股票收益率的条件方差分解为短期和长期成分,后者可能取决于以较低频率采样的外生协变量。 强调 使用GARCH-MIDAS模型进行估算和预测的综合工具箱 易于使用,带有一个或两个解释协变量 专为处理不规则间隔的混频数据而设计 请引用为 康拉德,克里斯蒂安和克莱恩,昂诺(2020)。 有两个比一个要好:使用乘性分量GARCH-MIDAS模型进行的波动率预测。 Journal of Applied Econometrics 35:19–45。 和 克莱恩·昂诺(2020)。 mfGARCH

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