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In its simplest terms, imagine you were just using the yield curve as your single predictor of recessions. Suppose (horribly simplistically) that curve inversions tend to signal downturns in 12-18 months time. The curve 12-18 months ago is thus a relevant variable for whether the economy is going into recession or not today. It might also be the case that ...


I know this is an old question, but I wanted to add that the NPM library technialinidicators, while advertised for crypto markets, has open code for many popular and some obscure technical indicators. I've hand written a few indicators from scratch, too, after finding performance issues in that library. But it's a useful reference.


It is an old thread. Just pointing out that capability is available in ARCH package now for the benefit of future readers. Volatility models ARCH GARCH TARCH EGARCH EWMA/RiskMetrics


If I am understanding your question correctly, maybe you can simulate two correlated GBM's and then apply the lag manually afterward.

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