EGARCH(1,1) asymmetric volatility model

Usage

morie_egarch_model(x)

Arguments

x: Numeric return series.

Value

Named list with omega, alpha, gamma, beta, loglik, conditional_variance, n, method.

Examples

morie_egarch_model(x = rnorm(50))
#> Warning: 
#> ugarchfit-->waring: using less than 100 data
#>  points for estimation
#> $omega
#> [1] 0.02253422
#> 
#> $alpha
#> [1] 0.1244709
#> 
#> $gamma
#> [1] -0.9795665
#> 
#> $beta
#> [1] 0.8804727
#> 
#> $loglik
#> [1] -69.41872
#> 
#> $conditional_variance
#>  [1] 1.3178239 0.6975514 1.3662153 1.0779356 1.6909000 0.8126825 0.2957432
#>  [8] 0.6914894 1.3499385 0.9274859 0.6881918 0.9517956 0.4783185 0.7851672
#> [15] 0.7610101 1.4552669 2.1606566 2.0759040 1.6186560 3.3740438 1.1459796
#> [22] 0.8145589 0.4255680 0.2058690 0.4472556 1.0257760 0.4063038 0.5148033
#> [29] 0.7426235 0.2646162 0.1216629 0.2776956 0.6242719 0.7558338 0.5748070
#> [36] 1.2018301 1.9762045 2.8910614 2.7463488 2.5414954 3.4632259 2.0963869
#> [43] 1.0243252 1.2156260 0.4826366 0.6145580 1.0240689 0.5358194 0.6733428
#> [50] 0.3197373
#> 
#> $n
#> [1] 50
#> 
#> $method
#> [1] "EGARCH(1,1) via rugarch"
#>