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# CITATION file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "qgarch" in publications use:'
type: software
license: MIT
title: 'qgarch: Quadratic GARCH-in-Mean Models for Volatility Feedback'
version: 0.1.0
doi: 10.1016/j.pacfin.2025.102708
abstract: 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:
- family-names: Bialkowski
  given-names: Jedrzej
  email: jedrzej.bialkowski@canterbury.ac.nz
- family-names: Hong
  given-names: Sanghyun
  email: sanghyun.hong@canterbury.ac.nz
- family-names: Wagner
  given-names: Moritz
  email: moritz.wagner@canterbury.ac.nz
preferred-citation:
  type: article
  title: Is no news still good news? Volatility feedback revisited
  authors:
  - family-names: Bialkowski
    given-names: Jedrzej
    email: jedrzej.bialkowski@canterbury.ac.nz
  - family-names: Hong
    given-names: Sanghyun
    email: sanghyun.hong@canterbury.ac.nz
  - family-names: Wagner
    given-names: Moritz
    email: moritz.wagner@canterbury.ac.nz
  year: '2025'
  journal: Pacific-Basin Finance Journal
  volume: '91'
  doi: 10.1016/j.pacfin.2025.102708
  start: '102708'
repository: https://cran.r-universe.dev
repository-code: https://github.com/sho-125/qgarch
commit: 2f71cda3afb801e6580c8e2b6c6cfd497057c029
url: https://github.com/sho-125/qgarch
date-released: '2026-05-07'
contact:
- family-names: Hong
  given-names: Sanghyun
  email: sanghyun.hong@canterbury.ac.nz
references:
- type: manual
  title: 'qgarch: Quadratic GARCH-in-Mean Models for Volatility Feedback'
  authors:
  - family-names: Bialkowski
    given-names: Jedrzej
  - family-names: Hong
    given-names: Sanghyun
  - family-names: Wagner
    given-names: Moritz
  year: '2026'
  notes: R package version 0.1.0
  url: https://github.com/sho-125/qgarch