Can you use GARCH-MIDAS for intraday data?

Question

I'm working on a project to forecast volatility and I'm using intraday data (1 min). I want to include exogenous variables to the model that have daily frequency. I was wondering if GARCH-MIDAS can be used for this? The papers I have read on this model use daily price data and the R-package description (mfGARCH) also says

[...] The GARC-HMIDAS model decomposes the conditional variance of (daily) stock returns into a shortand long-term component, where the latter may depend on an exogenous covariate sampled at a lower frequency.

Thanks!

Answer 1

I guess its possible if you employ some kind of GARCH with an intraday component. In general, it should not be too difficult to alter my R-package mfGARCH for estimating it. Maybe

http://www.unstarched.net/2013/03/20/high-frequency-garch-the-multiplicative-component-garch-mcsgarch-model/

could be a start for modeling intraday seasonality.

Best, Onno