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MIDAS Matlab Toolbox

version (1.07 MB) by Hang Qian
Repack of Mi(xed) Da(ta) S(ampling) regressions (MIDAS) written by Eric Ghysels and collaborators


Updated 05 Mar 2021

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The mixed frequency regression studies the explanatory power of high frequency variables on the low frequency outcome. The weights associated with high frequency regressors are usually assumed some functional form. This toolbox is a repack of the Mi(xed) Da(ta) S(ampling) regressions (MIDAS) programs written by Eric Ghysels. It supports ADL-MIDAS type regressions. The package also includes two functions for GARCH-MIDAS and DCC-MIDAS estimation. See the enclosed user guide for details.
[...] = MIDAS_ADL(DataY,DataYdate,DataX,DataXdate)
[...] = MIDAS_ADL(DataY,DataYdate,DataX,DataXdate,name,value,...)
[...] = GarchMidas(y, name,value,...)
[...] = DccMidas(Data, name,value,...)

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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