GJR-GARCH(1,1) threshold GARCH
Value
Named list with omega, alpha, gamma, beta, persistence,
loglik, conditional_variance, n, method.
Examples
morie_tgarch_model(x = rnorm(50))
#> Warning:
#> ugarchfit-->waring: using less than 100 data
#> points for estimation
#> $omega
#> [1] 0.0267501
#>
#> $alpha
#> [1] 6.647515e-10
#>
#> $gamma
#> [1] -0.04435301
#>
#> $beta
#> [1] 0.9999999
#>
#> $persistence
#> [1] 0.9778234
#>
#> $loglik
#> [1] -76.89615
#>
#> $conditional_variance
#> [1] 1.2774009 1.1811297 1.0617508 1.0885009 1.0192663 1.0460164 1.0528836
#> [8] 1.0796337 1.1063837 1.1331338 0.9842942 1.0086631 1.0354131 1.0621631
#> [15] 1.0889132 1.0732924 1.1000425 1.1243725 1.1498746 1.1766246 1.2033747
#> [22] 1.2301247 1.2568657 1.2836157 1.1190064 1.1457564 1.1725065 1.1992565
#> [29] 1.2260065 1.2527561 1.2578031 1.2845532 1.3113024 1.3371525 1.2844364
#> [36] 1.3111864 1.2672914 1.2542270 1.2724344 1.2991844 1.3112521 1.1968260
#> [43] 1.2235760 1.2503261 1.2766501 1.3034001 1.2872925 1.3127236 1.3394736
#> [50] 1.3490780
#>
#> $n
#> [1] 50
#>
#> $method
#> [1] "GJR-GARCH(1,1) via rugarch"
#>