Package: rumidas
Title: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and
        MEM-MIDAS
Version: 0.1.1
Authors@R: person("Vincenzo", "Candila", email="vincenzo.candila@uniroma1.it", role=c("aut", "cre"))
Description: 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>) 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. 
License: GPL-3
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.1.1
RdMacros: Rdpack
Depends: R (>= 4.0.0), maxLik (>= 1.3-8)
Imports: highfrequency (>= 0.6.5), 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
NeedsCompilation: no
Packaged: 2021-02-01 15:41:14 UTC; Vincenzo
Author: Vincenzo Candila [aut, cre]
Maintainer: Vincenzo Candila <vincenzo.candila@uniroma1.it>
Repository: CRAN
Date/Publication: 2021-02-01 17:00:02 UTC
