Mixed-Frequency GARCH Models

Documentation for package ‘mfGARCH’ version 0.1.2

df_financial	Stock returns and financial conditions.
fit_mfgarch	This function estimates a multiplicative mixed-frequency GARCH model
plot_weighting_scheme	This function plots the weighting scheme of an esimated GARCH-MIDAS model
simulate_mfgarch	This function simulates a GARCH-MIDAS model
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)