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.
| Version: | 0.1.0 |
| Depends: | R (≥ 4.1.0) |
| Imports: | MASS |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2026-05-07 |
| DOI: | 10.32614/CRAN.package.qgarch (may not be active yet) |
| Author: | Jedrzej Bialkowski [aut], Sanghyun Hong [aut, cre], Moritz Wagner [aut] |
| Maintainer: | Sanghyun Hong <sanghyun.hong at canterbury.ac.nz> |
| BugReports: | https://github.com/sho-125/qgarch/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/sho-125/qgarch |
| NeedsCompilation: | no |
| Citation: | qgarch citation info |
| Materials: | README |
| CRAN checks: | qgarch results |
| Reference manual: | qgarch.html , qgarch.pdf |
| Package source: | qgarch_0.1.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): qgarch_0.1.0.tgz, r-oldrel (arm64): qgarch_0.1.0.tgz, r-release (x86_64): qgarch_0.1.0.tgz, r-oldrel (x86_64): qgarch_0.1.0.tgz |
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