The recently proposed Double Asymmetric GARCH-MIDAS (DAGM) model aims at separating the positive and negative macro variable variations within the long-run term and adds an asymmetric effect in the short-run component. In this work, the intent is to further extend the model in two main directions. A realized measure is included as a daily lagged variable in the short-run component (the so- called “–X” term) and a multi-step-ahead forecasting procedure is implemented for the class of GARCH–MIDAS (GM) models with the additional “–X” term. The ex- tended DAGM-X model, which nests the DAGM and GM, is extensively evaluated under alternative configurations concerning the S&P 500 Index.
Double Asymmetric GARCH-MIDAS model - new insights and results
Alessandra Amendola;Vincenzo Candila;
2020-01-01
Abstract
The recently proposed Double Asymmetric GARCH-MIDAS (DAGM) model aims at separating the positive and negative macro variable variations within the long-run term and adds an asymmetric effect in the short-run component. In this work, the intent is to further extend the model in two main directions. A realized measure is included as a daily lagged variable in the short-run component (the so- called “–X” term) and a multi-step-ahead forecasting procedure is implemented for the class of GARCH–MIDAS (GM) models with the additional “–X” term. The ex- tended DAGM-X model, which nests the DAGM and GM, is extensively evaluated under alternative configurations concerning the S&P 500 Index.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
