mfGARCH (version 0.2.1)

simulate_mfgarch_diffusion: This function simulates a GARCH-MIDAS model where the short-term GARCH component is replaced by its diffusion limit, see Andersen (1998)

Description

This function simulates a GARCH-MIDAS model where the short-term GARCH component is replaced by its diffusion limit, see Andersen (1998)

Usage

simulate_mfgarch_diffusion(
  n.days,
  mu,
  alpha,
  beta,
  m,
  theta,
  w1 = 1,
  w2,
  K,
  psi,
  sigma.psi,
  low.freq = 1,
  n.intraday = 288
)

Arguments

n.days

number of days

mu

mu

alpha

alpha

beta

beta

m

m

theta

theta

w1

w1

w2

w2

K

K

psi

psi

sigma.psi

sigma.psi

low.freq

low.freq

n.intraday

n.intraday

Examples

# NOT RUN {
simulate_mfgarch_diffusion(n.days = 200, mu = 0, alpha = 0.06, beta = 0.92, m = 0,
theta = 0.1, w1 = 1, w2 = 3, K = 12, psi = 0.98, sigma.psi = 0.1, low.freq = 10)
# }