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] -0.01859126
#> 
#> $alpha
#> [1] 0.3359853
#> 
#> $gamma
#> [1] -0.9721212
#> 
#> $beta
#> [1] 0.8458443
#> 
#> $loglik
#> [1] -66.88092
#> 
#> $conditional_variance
#>  [1] 1.0727179 1.0099923 0.8307639 1.0284077 0.1970183 0.2684148 0.3977886
#>  [8] 0.4747671 0.9653964 0.6595550 0.8771600 1.2171847 0.3941589 0.4559931
#> [15] 0.3019795 0.3537390 0.4020415 0.3796368 0.9304751 1.2527235 1.3973806
#> [22] 1.8951317 1.3393435 2.3774127 3.4845473 1.2578737 0.5035531 0.5225395
#> [29] 0.8792018 1.1048148 0.7378009 0.5512704 0.7179395 1.2063744 1.9982679
#> [36] 1.8780195 2.7482074 1.9940951 3.3249357 1.4924222 2.4404424 0.5196109
#> [43] 0.3825641 0.2493554 0.2164144 0.3681935 0.4793539 0.6108400 0.8812963
#> [50] 0.8689870
#> 
#> $n
#> [1] 50
#> 
#> $method
#> [1] "EGARCH(1,1) via rugarch"
#>