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Results tagged with midas
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user 241416
MIDAS (mixed data sampling) models are used for time series that are sampled at different frequencies, e.g. monthly and annually or hourly and daily.
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How can i choose the optimal lag in GARCH-MIDAS?
I have to choose individual GARCH-MIDAS models for some variables. … Is there any condition to choose the maximum lag in GARCH MIDAS? (The significance of some parameter for instance.) …
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