qgarch
Quadratic GARCH-in-Mean Models for Volatility Feedback
Description
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.
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CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 8, 2026
NOTE 12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 7, 2026
CRAN incoming feasibility
Maintainer: ‘Sanghyun Hong <sanghyun.hong@canterbury.ac.nz>’ Problems when formatting CITATION entries: cannot open file '/tmp/Rtmpk5FooA/Rf37b00017f69281': No space left on device