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] 0.102843
#>
#> $alpha
#> [1] 1.504257e-09
#>
#> $gamma
#> [1] -0.200801
#>
#> $beta
#> [1] 0.9729899
#>
#> $persistence
#> [1] 0.8725894
#>
#> $loglik
#> [1] -70.12122
#>
#> $conditional_variance
#> [1] 1.0116813 1.0237576 1.0989489 0.8356719 0.9159434 0.5861053 0.6642254
#> [8] 0.7491277 0.8317367 0.8852021 0.7714144 0.8534214 0.9300032 0.9597570
#> [15] 1.0366769 1.0385748 1.1133658 1.1861367 1.2569421 1.3258350 1.3062461
#> [22] 1.3738073 1.3965900 1.2089413 1.2791307 1.1290325 1.1679365 1.1325601
#> [29] 0.9787723 1.0551786 0.5910749 0.6573781 0.6473603 0.2784563 0.3669556
#> [36] 0.4002900 0.3921960 0.4844458 0.5742039 0.6531510 0.7383524 0.6757560
#> [43] 0.7403904 0.8232354 0.9004147 0.9789375 1.0553393 0.9954464 1.0714023
#> [50] 1.1453067
#>
#> $n
#> [1] 50
#>
#> $method
#> [1] "GJR-GARCH(1,1) via rugarch"
#>