ARCH(1)-in-mean model

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

set.seed(1)
morie_arch_in_mean(x = rnorm(50))
#> $mu
#> [1] 8.037806
#> 
#> $delta
#> [1] -10
#> 
#> $omega
#> [1] 0.6286945
#> 
#> $alpha
#> [1] 1e-08
#> 
#> $loglik
#> [1] -60.98964
#> 
#> $conditional_variance
#>  [1] 0.6912159 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945
#>  [8] 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945
#> [15] 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945
#> [22] 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945
#> [29] 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945
#> [36] 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945
#> [43] 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945 0.6286945
#> [50] 0.6286945
#> 
#> $n
#> [1] 50
#> 
#> $method
#> [1] "ARCH(1)-in-mean Gaussian MLE (base R)"
#>