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 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.

Version: 0.1.2
Depends: R (≥ 4.0.0), maxLik (≥ 1.3-8)
Imports: 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: 2024-02-17
DOI: 10.32614/CRAN.package.rumidas
Author: Vincenzo Candila [aut, cre]
Maintainer: Vincenzo Candila <vcandila at>
License: GPL-3
NeedsCompilation: no
Citation: rumidas citation info
Materials: NEWS
CRAN checks: rumidas results


Reference manual: rumidas.pdf


Package source: rumidas_0.1.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): rumidas_0.1.2.tgz, r-oldrel (arm64): rumidas_0.1.2.tgz, r-release (x86_64): rumidas_0.1.2.tgz, r-oldrel (x86_64): rumidas_0.1.2.tgz
Old sources: rumidas archive

Reverse dependencies:

Reverse imports: dccmidas, PWEV


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