mfGARCH (version 0.2.1)

simulate_mfgarch_rv_dependent: Simulate a GARCH-MIDAS similar to Wang/Ghysels with lagged RVol as covariate

Description

Simulate a GARCH-MIDAS similar to Wang/Ghysels with lagged RVol as covariate

Usage

simulate_mfgarch_rv_dependent(
  n.days,
  mu,
  alpha,
  beta,
  gamma,
  m,
  theta,
  w1 = 1,
  w2,
  K,
  n.intraday = 288,
  low.freq = 1,
  rvol = FALSE
)

Arguments

n.days

number of days

mu

mu

alpha

alpha

beta

beta

gamma

gamma

m

m

theta

theta

w1

w1

w2

w2

K

K

n.intraday

number of maximum intraday returns, default 288

low.freq

number of days per low frequency

rvol

if TRUE, the square root of the realized variance is used as a covariate

Examples

# NOT RUN {
simulate_mfgarch_rv_dependent(n.days = 2200, mu = 0, alpha = 0.06, beta = 0.92, gamma = 0, m = 0,
  theta = 0.1, w1 = 1, w2 = 3, K = 3, low.freq = 22)
# }