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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling linux/jammy R-4.5 | qgarch_0.1.0.tar.gz |
100.7 KiB |
0.1.0 |
rolling linux/noble R-4.5 | qgarch_0.1.0.tar.gz |
100.2 KiB |
0.1.0 |
rolling source/ R- | qgarch_0.1.0.tar.gz |
27.4 KiB |
0.1.0 |
latest linux/jammy R-4.5 | qgarch_0.1.0.tar.gz |
100.7 KiB |
0.1.0 |
latest linux/noble R-4.5 | qgarch_0.1.0.tar.gz |
100.2 KiB |
0.1.0 |
latest source/ R- | qgarch_0.1.0.tar.gz |
27.4 KiB |
0.1.0 |
2026-04-23 source/ R- | qgarch_0.1.0.tar.gz |
0 B |