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| GARCH-MIDAS× | DCC-MIDAS× | Regresja U-MIDAS (Unrestricted MIDAS)× | |
|---|---|---|---|
| Dziedzina | Ekonometria | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model | Regression model |
| Rok powstania≠ | 2012 | 2013 | 2007 |
| Twórca≠ | Engle and Ghysels | Engle, Ghysels, and Sohn | Eric Ghysels |
| Typ≠ | Time-varying variance model | Time-varying correlation model | Time-series regression |
| Źródło pierwotne≠ | Engle, R. F., & Ghysels, E. (2012). GARCH for long memory. Journal of Econometrics, 164(2), 385-391. link ↗ | Engle, R. F., Ghysels, E., & Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics, 95(3), 776-797. DOI ↗ | Foroni, C., Ghysels, E., & Marcellino, M. (2015). Mixed-frequency vector autoregressive models. International Journal of Forecasting, 31(4), 1051-1070. DOI ↗ |
| Inne nazwy | Mixed-frequency volatility model | DCC mixed-frequency model | Unrestricted Mixed Data Sampling |
| Pokrewne | 3 | 3 | 3 |
| Podsumowanie≠ | 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. | DCC-MIDAS combines dynamic conditional correlation (DCC) GARCH with mixed-frequency data sampling (MIDAS), enabling estimation of time-varying correlations between variables when observations arrive at different frequencies. Introduced by Engle et al. (2013), it models how correlations evolve with low-frequency macroeconomic conditions using high-frequency asset price information. This is crucial for portfolio risk management and understanding macro-finance linkages. | 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. |
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