midasr (version 0.3)

harstep.gradient: Gradient function for HAR(3)-RV model MIDAS weights specification

Description

Gradient function for HAR(3)-RV model MIDAS weights specification

Usage

harstep.gradient(p, d, m)

Arguments

p

parameters for Almon lag

d

number of the coefficients

m

the frequency, currently ignored.

Value

• vector of coefficients

Details

MIDAS weights for Heterogeneous Autoregressive model of Realized Volatilty (HAR-RV). It is assumed that month has 20 days.

References

Corsi, F., A Simple Approximate Long-Memory Model of Realized Volatility, Journal of Financial Econometrics Vol. 7 No. 2 (2009) 174-196