Description
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.
Downloads
633
Last 30 days
5197th
2K
Last 90 days
6.1K
Last year
Trend: +0.3% (30d vs prior 30d)
42
Last 30 days
123
Last 90 days
447
Last year
Trend: -16% (30d vs prior 30d)
2
Last 7 days
15
Last 30 days
0
All-time
autoCRAN-only: this name is served only by autoCRAN, so the count is exact.
CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Apr 22, 2026
ERROR 13 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Apr 18, 2026
whether package can be installed
Installation failed. See 'd:/Rcompile/CRANpkg/local/4.6/mfGARCH.Rcheck/00install.out' for details.