Mixed-Frequency GARCH Models

Documentation for package ‘mfGARCH’ version 0.2.1

df_financial	Stock returns and financial conditions.
df_mfgarch	Mixed-frequency data set.
fit_mfgarch	This function estimates a multiplicative mixed-frequency GARCH model. For the sake of numerical stability, it is best to multiply log returns by 100.
plot_weighting_scheme	This function plots the weighting scheme of an estimated GARCH-MIDAS model
simulate_mfgarch	This function simulates a GARCH-MIDAS model. Innovations can follow a standard normal or student-t distribution.
simulate_mfgarch_diffusion	This function simulates a GARCH-MIDAS model where the short-term GARCH component is replaced by its diffusion limit, see Andersen (1998)
simulate_mfgarch_rv_dependent	Simulate a GARCH-MIDAS similar to Wang/Ghysels with lagged RVol as covariate