MIDASv2.4.zip
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更新日期:2025-09-22

GARCH-MIDAS、DDC-MIDAS模型MATLAB代码

资源文件列表(大概)

文件名
大小
MIDASv2.4/appADLMIDAS1.m
4.22KB
MIDASv2.4/appADLMIDAS2.m
3.3KB
MIDASv2.4/appADLMIDAS3.m
2.62KB
MIDASv2.4/appADLMIDAS4.m
1.32KB
MIDASv2.4/appDCCMIDAS1.m
3.7KB
MIDASv2.4/appGARCHMIDAS1.m
3.4KB
MIDASv2.4/appMidasQuantile1.m
1.13KB
MIDASv2.4/DataQuantile.xlsx
84.94KB
MIDASv2.4/DccMidas.m
36.03KB
MIDASv2.4/DEXJPUS.xls
380.5KB
MIDASv2.4/DGS10.xls
379.5KB
MIDASv2.4/ForecastCombine.m
2.92KB
MIDASv2.4/GarchMidas.m
33.29KB
MIDASv2.4/INDPRO.xls
25KB
MIDASv2.4/mfrvobj_adl.m
595B
MIDASv2.4/MIDAS_ADL.m
30.48KB
MIDASv2.4/MIDAS_Usersguide_V2.4.pdf
633.26KB
MIDASv2.4/MidasQuantile.m
18.5KB
MIDASv2.4/MixFreqData.m
14.61KB
MIDASv2.4/mydata.xlsx
48.23KB
MIDASv2.4/NASDAQCOM.xls
381.5KB
MIDASv2.4/private/aicbic.m
232B
MIDASv2.4/private/almon_adl_new.m
2.03KB
MIDASv2.4/private/almon_weights.m
177B
MIDASv2.4/private/bnls_adl_new.m
4.03KB
MIDASv2.4/private/bnlsNN_adl_new.m
4.1KB
MIDASv2.4/private/enls1_adl_new.m
3.65KB
MIDASv2.4/private/HAC_kernel.m
501B
MIDASv2.4/private/hessian.m
3.98KB
MIDASv2.4/private/jacob.m
485B
MIDASv2.4/private/midas_sf_adl_new.m
1.89KB
MIDASv2.4/private/midas_X.m
4.22KB
MIDASv2.4/private/ols.m
1.76KB
MIDASv2.4/private/ssr_mfrvobj_adl.m
173B
MIDASv2.4/private/var2struct.m
235B
MIDASv2.4/Readme.txt
1.12KB
MIDASv2.4/ssr_r25_adl_new.m
928B
MIDASv2.4/ssr_r25_NN_adl_new.m
1.35KB
license.txt
1.47KB

资源内容介绍

2,4版 可以估计DCC-MIDAS adl-MIDAS DCC-GARCH
The mixed frequency regression studies the explanatory power of high frequency variables on the low frequency outcome. The weights associated with high frequency regressors are usually assumed some functional form. This toolbox is a repack of the Mi(xed) Da(ta) S(ampling) regressions (MIDAS) programs written by Eric Ghysels. It supports ADL-MIDAS type regressions. It also includes two functions for GARCH-MIDAS and DCC-MIDAS estimationSyntax:[...] = MIDAS_ADL(DataY,DataYdate,DataX,DataXdate)[...] = MIDAS_ADL(DataY,DataYdate,DataX,DataXdate,name,value,...)[...] = GarchMidas(y, name,value,...)[...] = DccMidas(Data, name,value,...)Version Historyv2.4 Add Legendre polynomial in MIDAS_ADLv2.1 Add MIDAS quantile regressionv2.0 Add GARCH-MIDAS and DCC-MIDASv1.1 Allow MIDAS leads and lags specification 'horizon' be negative. Add true out-of-sample forecast; results are restored in the last output argument 'Extended Forecast' struct. Report the approximated dates associated with the forecasted values in the output struct, in character instead of serial dates.v1.0 First release of the repacked MIDAS regression

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