glog.ep

numeric vector, time series or <code><a href="/link/zoo?package=gets&version=0.1" rd-options="" data-mini-rdoc="gets::zoo">zoo</a></code> object

numeric value between 0 and 1 (the quantile adjustment for zero values).
The default 0.1 means zeros are replaced by the 10 percent quantile
of abs(e) before taking the logarithm

zero.adj

numeric value greater than zero. The power of the log-volatility specification

the value to replace NA values with. Default: na.replace=NA

na.replace

Adjusts a series called e - typically a series of residuals or
financial returns - for zero values, so that the logarithm can be
applied on the absolute pth. exponentiated values. Next,
log(abs(e)^p) is computed

time series

Statistical Models

Financial Econometrics

Automated multi-path General-to-Specific (GETS) model selection of either an AR-X model with log-ARCH-X errors, or a log-ARCH-X model of the log-variance. The three main functions of the package are arx, getsm and getsv. The first function estimates an AR-X model with log-ARCH-X errors. The second function undertakes GETS model selection of the mean specification of an arx object, whereas the third function undertakes GETS model selection of the log-variance specification of an arx object.

glog.ep: Adjust for zero values and compute log(abs(e)^p)

Description

Usage

Arguments

Value