plot_weighting_scheme

<p>mfGARCH object obtained by fit_mfgarch</p>

<p>This function plots the weighting scheme of an estimated GARCH-MIDAS model</p>

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 (2020, <doi:10.1002/jae.2742>). 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.

Onno Kleen

plot_weighting_scheme: This function plots the weighting scheme of an estimated GARCH-MIDAS model

Description

Usage

Arguments