Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS
Beta function
DAGM-2M conditional volatility (no skewness)
DAGM-2M conditional volatility (with skewness)
DAGM-2M log-likelihood (without skewness)
DAGM-2M log-likelihood (with skewness)
DAGM-2M (daily) long-run volatility (no skewness)
DAGM-2M (daily) long-run volatility (with skewness)
DAGM conditional volatility (no skewness)
DAGM conditional volatility (with skewness)
DAGM log-likelihood (without skewness)
DAGM log-likelihood (with skewness)
DAGM (daily) long-run volatility (no skewness)
DAGM (daily) long-run volatility (with skewness)
DAGM-X conditional volatility (no skewness)
DAGM-X conditional volatility (with skewness)
DAGM-X log-likelihood (no skewness)
DAGM-X log-likelihood (with skewness)
DAGM-X (daily) long-run volatility (no skewness)
DAGM-X (daily) long-run volatility (with skewness)
Exponential Almon Lag
GARCH-MIDAS-2M conditional volatility (without skewness)
GARCH-MIDAS-2M conditional volatility (with skewness)
GARCH-MIDAS-2M log-likelihood (without skewness)
GARCH-MIDAS-2M log-likelihood (with skewness)
GARCH-MIDAS-2M long-run volatility (without skewness)
GARCH-MIDAS-2M long-run volatility (with skewness)
GARCH-MIDAS conditional volatility (without skewness)
GARCH-MIDAS conditional volatility (with skewness)
GARCH-MIDAS log-likelihood (no skewness)
GARCH-MIDAS log-likelihood (with skewness)
GARCH-MIDAS (daily) long-run volatility (without skewness)
GARCH-MIDAS (daily) long-run (with skewness)
GARCH-MIDAS-X conditional volatility (without skewness)
GARCH-MIDAS-X conditional volatility (with skewness)
GARCH-MIDAS-X log-likelihood (no skewness)
GARCH-MIDAS-X log-likelihood (with skewness)
GARCH-MIDAS-X (daily) long-run volatility (without skewness)
GARCH-MIDAS-X (daily) long-run (with skewness)
Information Criteria
Loss functions
MEM log-likelihood (no skewness parameter)
MEM log-likelihood (with skewness parameter)
MEM-MIDAS log-likelihood (no skewness parameter)
MEM-MIDAS log-likelihood (with skewness parameter)
MEM-MIDAS long-run one-step-ahead predictions (no skewness parameter)
MEM-MIDAS long-run one-step-ahead predictions (with skewness parameter...
MEM-MIDAS one-step-ahead predictions (no skewness parameter)
MEM-MIDAS one-step-ahead predictions (with skewness parameter)
MEM-MIDAS-X log-likelihood (no skewness parameter)
MEM-MIDAS-X log-likelihood (with skewness parameter)
MEM-MIDAS-X long-run one-step-ahead predictions (no skewness parameter...
MEM-MIDAS-X long-run one-step-ahead predictions (with skewness paramet...
MEM-MIDAS-X one-step-ahead predictions (no skewness parameter)
MEM-MIDAS-X one-step-ahead predictions (with skewness parameter)
MEM one-step-ahead predictions (no skewness parameter)
MEM one-step-ahead predictions (with skewness parameter)
Standard errors for the Quasi Maximum Likelihood estimator of the MEM-...
MEM-X log-likelihood (no skewness parameter)
MEM-X log-likelihood (with skewness parameter)
MEM-X one-step-ahead predictions (no skewness parameter)
MEM-X one-step-ahead predictions (with skewness parameter)
Multi--step--ahead predictions of the GARCH--MIDAS--based models with ...
MIDAS variable matrix transformation
Print method for 'rumidas' class
Standard errors for the Quasi Maximum Likelihood estimator of the GARC...
Summation function for the multi-step-ahead predictions of the GARCH--...
Summary method for 'rumidas' class
Methods for obtaining (and evaluating) a variety of GARCH-MIDAS-based ...
Methods for obtaining (and evaluating) a variety of MEM(-MIDAS)-based ...
Adds the MIxing-Data Sampling (MIDAS, Ghysels et al. (2007) <doi:10.1080/07474930600972467>) components to a variety of GARCH and MEM (Engle (2002) <doi:10.1002/jae.683>, Engle and Gallo (2006) <doi:10.1016/j.jeconom.2005.01.018>, and Amendola et al. (2024) <doi:10.1016/j.seps.2023.101764>) models, with the aim of predicting the volatility with additional low-frequency (that is, MIDAS) terms. The estimation takes place through simple functions, which provide in-sample and (if present) and out-of-sample evaluations. 'rumidas' also offers a summary tool, which synthesizes the main information of the estimated model. There is also the possibility of generating one-step-ahead and multi-step-ahead forecasts.