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GARCH-MIDAS/Evidence
Method evidence record

GARCH-MIDAS

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.

Sources recorded, not reviewed

Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

GARCH with Mixed Data Sampling
Taxonomic method record · regression-model / econometrics
  • Engle, R. F., & Ghysels, E. (2012). GARCH for long memory. Journal of Econometrics, 164(2), 385-391. · URL
  • Ghysels, E., Santa-Clara, P., & Valkanov, R. (2005). There is a risk-return trade-off after all. Journal of Financial Economics, 76(3), 674-704. · DOI 10.1016/j.jfineco.2004.03.008
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Curated claims

Claims persisted in the evidence ledger, each with its own assessment.

No curated claims yet

This view does not invent a claim assessment when the ledger has none.

Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyComponent GARCHmachine-suggested · Relational suggestion, not evidence.Same method familyDCC-MIDASmachine-suggested · Relational suggestion, not evidence.Same method familyU-MIDASmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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