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MIDAS and GARCH; A comparison of predictive ability using real world data
(2017-06-26)
I compare GARCH and MIDAS one-day-ahead forecasts of volatility using high frequency data from the CRSP U.S. Mega Cap Index. The MIDAS models are estimated using high frequency data sampled at 5, 15 and 30 minute intervals ...
Importance of daily data in long horizon inflation forecasting - a MIDAS approach
(2018-02-19)
We examine the accuracy of forecast models for the monthly Euro area inflation, focusing on the MIDAS approach. We compare two mixed frequency models with four low frequency models, using fourteen mixed frequency variables ...