ARCH(1)-in-mean model

Usage

morie_arch_in_mean(x)

Arguments

x: Numeric return series.

Value

Named list with mu, delta, omega, alpha, loglik, conditional_variance, n, method.

Examples

morie_arch_in_mean(x = rnorm(50))
#> $mu
#> [1] 8.475652
#> 
#> $delta
#> [1] -8.485146
#> 
#> $omega
#> [1] 0.9957682
#> 
#> $alpha
#> [1] 0.01676863
#> 
#> $loglik
#> [1] -71.8398
#> 
#> $conditional_variance
#>  [1] 1.0642328 0.9987804 1.0004755 0.9995753 1.0034281 1.0118026 1.0335471
#>  [8] 0.9958141 1.0080603 1.0152582 1.0041987 1.0452669 0.9959784 1.0025800
#> [15] 1.0065611 1.0283009 0.9967847 1.0386017 0.9967737 1.0294397 1.0049498
#> [22] 1.0111875 1.0130687 0.9970296 1.0496310 1.0328388 1.0179678 1.0040950
#> [29] 1.0324411 0.9983078 0.9957831 1.0031735 1.0035184 1.0133151 0.9959511
#> [36] 0.9958154 1.0455587 1.0104051 1.0004139 1.0225998 0.9969504 1.0344232
#> [43] 0.9970212 1.0185764 1.0206492 1.0099705 1.0021159 1.0784196 0.9995574
#> [50] 1.0144780
#> 
#> $n
#> [1] 50
#> 
#> $method
#> [1] "ARCH(1)-in-mean Gaussian MLE (base R)"
#>