Package: rumidas
Title: Univariate GARCH-MIDAS, Double-Asymmetric GARCH-MIDAS and
        MEM-MIDAS
Version: 0.1.3
Authors@R: person("Vincenzo", "Candila", email="vcandila@unisa.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>, Engle and Gallo (2006) <doi:10.1016/j.jeconom.2005.01.018>, and Amendola et al. (2024) <doi:10.1016/j.seps.2023.101764>) 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: 7.2.3
RdMacros: Rdpack
Depends: R (>= 4.0.0), maxLik (>= 1.3-8)
Imports: 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: 2025-03-18 11:42:25 UTC; candi
Author: Vincenzo Candila [aut, cre]
Maintainer: Vincenzo Candila <vcandila@unisa.it>
Repository: CRAN
Date/Publication: 2025-03-18 13:40:15 UTC
Built: R 4.6.0; ; 2026-04-26 06:51:28 UTC; unix
