Mixed-Frequency GARCH Models
This function estimates a multiplicative mixed-frequency GARCH model. ...
This function plots the weighting scheme of an estimated GARCH-MIDAS m...
This function simulates a GARCH-MIDAS model. Innovations can follow a ...
This function simulates a GARCH-MIDAS model where the short-term GARCH...
Simulate a GARCH-MIDAS similar to Wang/Ghysels with lagged RVol as cov...
Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, <doi:10.1162/REST_a_00300>) and related statistical inference, accompanying the paper "Two are better than one: Volatility forecasting using multiplicative component GARCH models" by Conrad and Kleen (2020, <doi:10.1002/jae.2742>). The GARCH-MIDAS model decomposes the conditional variance of (daily) stock returns into a short- and long-term component, where the latter may depend on an exogenous covariate sampled at a lower frequency.