| Name : R-rumidas
| |
| Version : 0.1.2
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.1.4
| Date : 2024-06-14 11:17:14
|
| Group : Development/Libraries/Other
| Source RPM : R-rumidas-0.1.2-lp153.1.4.src.rpm
|
| Size : 0.55 MB
| |
| Packager : (none)
| |
| Summary : Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and MEM-MIDAS
|
Description :
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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
