Package: qgarch 0.1.0
Sanghyun Hong
qgarch: Quadratic GARCH-in-Mean Models for Volatility Feedback
Fits quadratic generalized autoregressive conditional heteroskedasticity-in-mean (QGARCH-M) models motivated by Campbell and Hentschel (1992). The package supports models with lambda fixed at zero, lambda restricted to a function of the remaining parameters, lambda estimated freely, and a threshold extension with state-dependent lambda. It also provides tools for starting values, estimation, forecasting, likelihood-ratio testing, moment diagnostics, and replication with the included monthly U.S. stock market dataset.
Authors:
qgarch_0.1.0.tar.gz
qgarch_0.1.0.tar.gz(r-4.7-any)qgarch_0.1.0.tar.gz(r-4.6-any)
qgarch_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
qgarch/json (API)
| # Install 'qgarch' in R: |
| install.packages('qgarch', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/sho-125/qgarch/issues
- us_monthly - Monthly U.S. data
Last updated from:2f71cda3af. Checks:4 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 150 | ||
| source / vignettes | OK | 145 | ||
| linux-release-x86_64 | OK | 151 | ||
| wasm-release | OK | 100 |
Exports:qgarch_default_startsqgarch_fitqgarch_lr_testqgarch_moments
Dependencies:MASS
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Extract coefficients from a qgarch model | coef.qgarch |
| Fitted values from a qgarch model | fitted.qgarch |
| Log-likelihood for a qgarch model | logLik.qgarch |
| Plot a qgarch model | plot.qgarch |
| Forecast from a generalized qgarch(m, n) model | predict.qgarch |
| Print a qgarch model | print.qgarch |
| Print a qgarch summary | print.summary.qgarch |
| Default starting values for qgarch estimation | qgarch_default_starts |
| Fit generalized qgarch(m, n) models | qgarch_fit |
| Likelihood ratio test for nested qgarch models | qgarch_lr_test |
| Compute sample moments for a series | qgarch_moments |
| Residuals from a qgarch model | residuals.qgarch |
| Summarize a qgarch model | summary.qgarch |
| Monthly U.S. data | us_monthly |
| Variance-covariance matrix for a qgarch model | vcov.qgarch |
