trmcdade
commented
2 years ago Hi,
Unfortunately that file is composed of proprietary data that I cannot share. I can say that it contains a time-series of the pricing data of Californian municipal bonds.
If you'd like to have a sample data set to play with, I suggest you look at the built-in data sets (e.g. df_financial) of the package here:
https://github.com/onnokleen/mfGARCH
Tim
On Thu, Nov 18, 2021 at 10:56 AM zhouvw @.***> wrote:
Hello, Sir. Recently, I have been learning the model of mixed frequency data. I found relevant codes of GARCH-MIDAS model in your GitHub, but I lack the source data file named “CA_reg_data_2021-09-30.csv” in the code "garch_midas.R". I hope you can provide me with this data file to help me complete the learning of the model. I hereby extend my highest respect to you and look forward to your reply. I wish you all the best.
— You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub https://github.com/trmcdade/bonds/issues/1, or unsubscribe https://github.com/notifications/unsubscribe-auth/AK2KNDP5XIDM54OAP7WJKWLUMUOZJANCNFSM5IJ64W7A .
Hello, Sir. Recently, I have been learning the model of mixed frequency data. I found relevant codes of GARCH-MIDAS model in your GitHub, but I lack the source data file named “CA_reg_data_2021-09-30.csv” in the code "garch_midas.R". I hope you can provide me with this data file to help me complete the learning of the model. I hereby extend my highest respect to you and look forward to your reply. I wish you all the best.