Hi, I'm trying to replicate the results of the paper " Two Are Better Than One: Volatility
Forecasting Using Multiplicative Component GARCH-MIDAS Models", Journal of Applied Econometrics, Vol. 35, No. 1, 2020, pp. 19-45. now I am facing this error:
Error in readRDS("data/df_recent_releases.rds") : unknown input format.
Environment:
" R version 3.6.0 (2019-04-26)" .
code :
#
rm(list=ls()[! ls() %in% global_objects])
df <- readRDS("data/df_recent_releases.rds") %>%
mutate(rv_sq_overnight = rv + (return - open_close)^2)
generate_summary_line <- function(variable){
cat(sum(!is.na(c(variable))))
cat(" & ")
cat(formatC(min(variable, na.rm = TRUE), digits = 2, format = "f"))
cat(" & ")
cat(formatC(max(variable, na.rm = TRUE), digits = 2, format = "f"))
cat(" & ")
cat(formatC(mean(variable, na.rm = TRUE), digits = 2, format = "f"))
cat(" & ")
cat(formatC(median(variable, na.rm = TRUE), digits = 2, format = "f"))
cat(" & ")
cat(formatC(sd(variable, na.rm = TRUE), digits = 2, format = "f"))
cat(" & ")
cat(formatC(skewness(variable, na.rm = TRUE), digits = 2, format = "f"))
cat(" & ")
cat(formatC(kurtosis(variable, na.rm = TRUE), digits = 2, format = "f"))
cat(" & ")
cat(trunc(as.numeric(unlist(acf(variable, plot = FALSE, na.action = na.pass)[1])[1]) * 100) / 100)
}
sink(file = "tables/summary_statistics_covariates.tex", append = FALSE, type = "output")
cat("\\begin{tabular}{lcrrrrrrrrrr}")
cat("\n \\toprule")
cat("\n Variable & Freq. & Start & Obs. & Min. & Max. & Mean & Median & Sd. & Skew. & Kurt. & AC(1) \\\\")
cat("\n \\midrule")
cat("\n \\textit{Stock market data} \\\\" )
cat("\n S\\&P 500 returns & d & 1971 & ")
generate_summary_line(df$return)
cat("\n $\\sqrt{\\text{RV}}$ & d & 2000 & ")
generate_summary_line(sqrt(filter(df, date >= "2000-01-01")$rv_sq_overnight))
cat("\n $\\text{RVol}(22)$ & d & 1989 & ")
generate_summary_line(filter(df, date >= "1989-01-01")$sqrt_rv_sq_22)
cat("\n \\\\")
cat("\n \\textit{Explanatory variables} \\\\")
cat("\n VIX & d & 1990 & ")
generate_summary_line(df$vix_sqrt_252)
cat("\n NFCI & w & 1973 &")
generate_summary_line(df %>% select(year_week, nfci) %>% distinct() %>% select(nfci) %>% unlist())
cat("\n NAI & m & 1971 & ")
generate_summary_line(df %>% select(year_month, nai) %>% distinct() %>% select(nai) %>% unlist())
cat("\n $\\Delta$ IP & m & 1971 & ")
generate_summary_line(df %>% select(year_month, dindpro) %>% distinct() %>% select(dindpro) %>% unlist())
cat("\n $\\Delta$ Housing & m & 1971 & ")
generate_summary_line(df %>% select(year_month, dhousing) %>% distinct() %>% select(dhousing) %>% unlist())
cat("\n \\bottomrule \n \\end{tabular}")
sink(file = NULL)
