Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model
The Double Asymmetric GARCH–MIDAS (DAGM) model has the advantage of modelling volatility as the product
of two components: a slow–moving term involving variables sampled at lower frequencies and a short–run part, each
with an asymmetric behavior in volatility dynamics. Such a model is extended in three directions: first, by including
a market volatility index as a daily lagged variable in the short–run component (the so-called “–X” term); second, by