Message-ID: <21318.57481.715812.931225@max.nulle.part>
Date: 2014-04-10T18:18:49Z
From: Dirk Eddelbuettel
Subject: GARCH MIDAS model
In-Reply-To: <1397121291464-4688514.post@n4.nabble.com>
On 10 April 2014 at 02:14, Chris Urlaub wrote:
| I'm trying to implement the GARCH MIDAS model proposed by Engle, Ghysels and
| Sohn (2013) in R. Since I just started using R for programming I cannot find
| out what's wrong with my programming code. After simulation I get the
One nice thing about R is just rich the ecosystem is. There *is* in fact a
MIDAS package for R, based on Eric Ghysel's code and with help by him.
See http://cran.r-project.org/web/packages/midasr/ and its documentation
including the site at http://mpiktas.github.io/midasr/
It does volatility modeling in its examples but I am not sure if it does
GARCH in the way that particular paper.
Hth, Dirk
--
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com