simulate_mfgarch {mfGARCH}

This function simulates a GARCH-MIDAS model. Innovations can follow a standard normal or student-t distribution.

Description

This function simulates a GARCH-MIDAS model. Innovations can follow a standard normal or student-t distribution.

Usage

simulate_mfgarch(
  n.days,
  mu,
  alpha,
  beta,
  gamma,
  m,
  theta,
  w1 = 1,
  w2,
  K,
  psi,
  sigma.psi,
  low.freq = 1,
  n.intraday = 288,
  student.t = NULL,
  corr = 0
)

Arguments

n.days

number of days

mu

mu

alpha

alpha

beta

beta

gamma

gamma

m

m

theta

theta

w1

w1

w2

w2

K

K

psi

psi

sigma.psi

sigma.psi

low.freq

number of days per low-frequency period

n.intraday

number of maximum intraday returns

student.t

either NULL or degrees of freedom

corr

correlation between innovations (should only be used for daily tau)

Examples

simulate_mfgarch(n.days = 200, mu = 0, alpha = 0.06, beta = 0.92, gamma = 0, m = 0,
theta = 0.1, w1 = 1, w2 = 3, K = 12, psi = 0.98, sigma.psi = 0.1, low.freq = 10)