CRAN

mfGARCH 0.1.7

Mixed-Frequency GARCH Models

Released Aug 6, 2018 by Onno Kleen

This package can be loaded by Renjin but all tests failed.

Dependencies

numDeriv 2016.8-1 zoo 1.8-3 Rcpp

Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, ) and related statistical inference, accompanying the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" by Conrad and Kleen (2018, ). 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.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>mfGARCH</artifactId>
    <version>0.1.7-b2</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:mfGARCH')

Test Results

This package was last tested against Renjin 0.9.2689 on Aug 26, 2018.

Source

C++

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