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] -10
#> 
#> $delta
#> [1] 8.817065
#> 
#> $omega
#> [1] 1.273645
#> 
#> $alpha
#> [1] 0.0213567
#> 
#> $loglik
#> [1] -77.92077
#> 
#> $conditional_variance
#>  [1] 1.367507 1.277530 1.392150 1.273708 1.298775 1.276618 1.290438 1.295997
#>  [9] 1.274746 1.294116 1.275747 1.289266 1.291096 1.274419 1.392174 1.276937
#> [17] 1.377547 1.275443 1.310436 1.278181 1.291052 1.273722 1.284878 1.289887
#> [25] 1.274692 1.290510 1.287212 1.312274 1.372508 1.288118 1.278306 1.305690
#> [33] 1.274428 1.280614 1.274842 1.273817 1.274653 1.295441 1.276623 1.277569
#> [41] 1.377546 1.301574 1.273779 1.403469 1.340217 1.335082 1.312481 1.312949
#> [49] 1.385918 1.276400
#> 
#> $n
#> [1] 50
#> 
#> $method
#> [1] "ARCH(1)-in-mean Gaussian MLE (base R)"
#>