MIDAS - lower to higher

[chartwel]

Hi all,

I purchased EViews 9.5 specifically because it had MIDAS capabilities, but I've run into a snag. I have a high-frequency dependent variable (either daily or monthly, depending on how I choose to use it) and lower-frequency independent variables (quarterly and annual). Does EViews allow for MIDAS estimation of high-frequency variables by low-frequency ones, or only using low-frequency dependent variables and high-frequency independent ones?

[EViews Gareth]

MIDAS (not just EViews, but the general theory) allows for low-frequency dependent with high-frequency regressors.

[chartwel]

Gareth,

Thanks for the quick reply, but isn't there a whole class of literature that relates stock market volatility (i.e. high-frequency changes) to slower-moving macroeconomic variables? Engle et al. (2009, available at https://archive.nyu.edu/bitstream/2451/ ... a08043.pdf) is the pioneer in this field, used by Hoang (2015, http://lup.lub.lu.se/luur/download?func ... Id=5469834) and Asgharian (2013, https://www.researchgate.net/publicatio ... S_Approach). I have something similar here, trying to explain volatility (daily or monthly) with quarterly macro variables.

[EViews Gareth]

Yeah, MIDAS-GARCH. Not (yet) implemented

[muhammet]

hi dude. I want to use dependent variable with higher frequency than independent variable for my thesis too. Well @IHSEViews told me I can use GARCH MIDAS for this situation on matlab. I m sending u the link, which they send me https://www.mathworks.com/matlabcentral ... ab-toolbox
But I still try to understand if it s possible and search the theorical. U can commnunicate with me on twitter @muhmt or mail me from my mail mumantu@windowslive.com I think we can help each other. stay safe