rumidas: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS

Adds the MIxing Data Sampling (MIDAS, Ghysels et al. (2007) <doi:10.1080/07474930600972467>) components within the GARCH (Engle et al. (2013) <doi:10.1162/REST_a_00300>) and MEM (Engle (2002) <doi:10.1002/jae.683>) frameworks, 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. Finally, an option to generate one-step-ahead volatility forecasts automatically divides the whole period into a training and testing samples.

Version: 0.1.0
Depends: R (≥ 4.0.0), maxLik (≥ 1.3-8)
Imports: highfrequency (≥ 0.6.5), roll (≥ 1.1.4), xts (≥ 0.12.0), tseries (≥ 0.10.47), Rdpack (≥ 1.0.0), lubridate (≥ 1.7.9), zoo (≥ 1.8.8), stats (≥ 4.0.2), utils (≥ 4.0.2)
Suggests: knitr, rmarkdown
Published: 2020-09-22
Author: Vincenzo Candila [aut, cre]
Maintainer: Vincenzo Candila <vincenzo.candila at>
License: GPL-3
NeedsCompilation: no
Citation: rumidas citation info
CRAN checks: rumidas results


Reference manual: rumidas.pdf
Package source: rumidas_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel: not available
macOS binaries: r-release: rumidas_0.1.0.tgz, r-oldrel: not available


Please use the canonical form to link to this page.