{ "_id": "6a106997acfb0bcc41ca9ae7", "Package": "qgarch", "Type": "Package", "Title": "Quadratic GARCH-in-Mean Models for Volatility Feedback", "Version": "0.1.0", "Authors@R": "c(\nperson(\ngiven = \"Jedrzej\",\nfamily = \"Bialkowski\",\nemail = \"jedrzej.bialkowski@canterbury.ac.nz\",\nrole = \"aut\"\n),\nperson(\ngiven = \"Sanghyun\",\nfamily = \"Hong\",\nemail = \"sanghyun.hong@canterbury.ac.nz\",\nrole = c(\"aut\", \"cre\")\n),\nperson(\ngiven = \"Moritz\",\nfamily = \"Wagner\",\nemail = \"moritz.wagner@canterbury.ac.nz\",\nrole = \"aut\"\n)\n)", "Description": "Fits quadratic generalized autoregressive conditional\nheteroskedasticity-in-mean (QGARCH-M) models motivated by\nCampbell and Hentschel (1992). The package supports models with\nlambda fixed at zero, lambda restricted to a function of the\nremaining parameters, lambda estimated freely, and a threshold\nextension with state-dependent lambda. 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