Fit a GARCH(1,1) model to a return series — morie_garch

$$\sigma_t^2 = \omega + \alpha \epsilon_{t-1}^2 + \beta \sigma_{t-1}^2.$$

Usage

morie_garch_fit(x)

Arguments

x: Numeric return series.

Value

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

Examples

morie_garch_fit(x = rnorm(50))
#> Warning: 
#> ugarchfit-->waring: using less than 100 data
#>  points for estimation
#> $omega
#> [1] 0.1121257
#> 
#> $alpha
#> [1] 5.888325e-13
#> 
#> $beta
#> [1] 0.8930076
#> 
#> $persistence
#> [1] 0.8930076
#> 
#> $loglik
#> [1] -73.71906
#> 
#> $conditional_variance
#>  [1] 1.118928 1.111337 1.104558 1.098505 1.093099 1.088271 1.083960 1.080110
#>  [9] 1.076672 1.073602 1.070861 1.068413 1.066226 1.064274 1.062530 1.060973
#> [17] 1.059583 1.058341 1.057233 1.056242 1.055358 1.054569 1.053864 1.053234
#> [25] 1.052672 1.052169 1.051721 1.051321 1.050963 1.050644 1.050358 1.050104
#> [33] 1.049876 1.049673 1.049492 1.049330 1.049185 1.049056 1.048941 1.048838
#> [41] 1.048746 1.048664 1.048590 1.048525 1.048466 1.048414 1.048368 1.048326
#> [49] 1.048289 1.048256
#> 
#> $n
#> [1] 50
#> 
#> $method
#> [1] "GARCH(1,1) via rugarch"
#>