Mirrors morie.fn._garch.garch_fit. Extends
morie_garch_fit (plain GARCH(1,1)) to the integrated,
GJR-threshold and asymmetric-power specifications.
Usage
morie_garch_spec_fit(r, spec = "garch")
Arguments
- r
numeric return series, at least 50 observations.
- spec
one of "garch", "igarch", "gjr", "aparch".
Value
list: params, sigma2, loglik, persistence, std_residuals,
mu, forecast, spec, n.
References
Tsay, R. S. (2010). Ch. 3. Glosten, Jagannathan &
Runkle (1993), J. Finance 48(5), 1779-1801. Ding, Granger & Engle
(1993), J. Empirical Finance 1(1), 83-106.
Examples
set.seed(1)
morie_garch_spec_fit(rnorm(200), "gjr")$persistence
#> [1] 0.979819
