[R-SIG-Finance] GARCH MIDAS model

[Dirk Eddelbuettel]

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