Package: mfGARCH
Title: Mixed-Frequency GARCH Models
Version: 0.1.9
Authors@R: person("Onno", "Kleen", email = "r@onnokleen.de", role = c("aut", "cre"), comment = c(ORCID = "0000-0003-4731-4640"))
Description: Estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels, Sohn, 2013, <doi:10.1162/REST_a_00300>) and related statistical inference, accompanying the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" by Conrad and Kleen (2018, <doi:10.2139/ssrn.2752354>). The GARCH-MIDAS model decomposes the conditional variance of (daily) stock returns into a short- and long-term component, where the latter may depend on an exogenous covariate sampled at a lower frequency. 
Depends: R (>= 3.3.0)
License: MIT + file LICENSE
Encoding: UTF-8
LazyData: true
RoxygenNote: 6.1.1
Imports: Rcpp, graphics, stats, numDeriv, zoo, maxLik
LinkingTo: Rcpp
URL: https://github.com/onnokleen/mfGARCH/
BugReports: https://github.com/onnokleen/mfGARCH/issues
Suggests: testthat, dplyr, ggplot2, covr, rmarkdown
NeedsCompilation: yes
Packaged: 2019-12-04 17:27:48 UTC; Arbeit
Author: Onno Kleen [aut, cre] (<https://orcid.org/0000-0003-4731-4640>)
Maintainer: Onno Kleen <r@onnokleen.de>
Repository: CRAN
Date/Publication: 2019-12-04 18:00:02 UTC
Built: R 4.0.0; x86_64-w64-mingw32; 2020-04-10 04:45:17 UTC; windows
Archs: i386, x64
