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| GARCH-MIDAS× | Regressió MIDAS sense restriccions× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2012 | 2007 |
| Autor original≠ | Engle and Ghysels | Eric Ghysels |
| Tipus≠ | Time-varying variance model | Time-series regression |
| Font seminal≠ | Engle, R. F., & Ghysels, E. (2012). GARCH for long memory. Journal of Econometrics, 164(2), 385-391. link ↗ | Foroni, C., Ghysels, E., & Marcellino, M. (2015). Mixed-frequency vector autoregressive models. International Journal of Forecasting, 31(4), 1051-1070. DOI ↗ |
| Àlies | Mixed-frequency volatility model | Unrestricted Mixed Data Sampling |
| Relacionats | 3 | 3 |
| Resum≠ | GARCH-MIDAS decomposes volatility into short-term (GARCH) and long-term (MIDAS) components, allowing low-frequency macroeconomic variables to drive medium-term volatility while high-frequency returns govern daily fluctuations. Introduced by Engle and Ghysels (2012), this framework elegantly separates volatility time scales. The approach is powerful for understanding how macro conditions (growth, inflation) drive risk premia and for improved volatility forecasting. | U-MIDAS (Unrestricted MIDAS) is a regression framework designed to handle mixed-frequency data—when explanatory variables arrive at different sampling frequencies (e.g., monthly GDP mixed with daily stock returns). Introduced by Ghysels and colleagues (2007), it eliminates the restrictive lag-structure polynomial constraints of the original MIDAS approach, allowing fuller use of high-frequency information. This flexibility makes it ideal for nowcasting and real-time economic forecasting. |
| ScholarGateConjunt de dades ↗ |
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