Usage
regs.var(e, vc = TRUE, arch = NULL, asym = NULL, log.ewma = NULL, vxreg = NULL,
p = 2, zero.adj = 0.1)
Arguments
e
numeric vector, time-series or zoo object. Missing values in the
beginning or at the end of the series is allowed, as they are removed with the
na.trim command vc
logical, TRUE (default) or FALSE. TRUE creates an intercept, FALSE does not
arch
integer vector, say, c(1,3) or 2:5. The ARCH-lags to include in the
log-variance specification
asym
integer vector, say, c(1) or 1:3. The asymmetry or leverage terms to
include in the log-variance specification
log.ewma
NULL (default) or a list. If NULL then log(EWMA) is not included as
volatility proxy. If a list, then log(EWMA) is included as a volatility
proxy.
vxreg
numeric matrix, time-series or zoo object of conditioning variables.
Note that missing values in the beginning or at the end of the series
is allowed, as they are removed with the p
numeric value greater than zero. The power in e^p
zero.adj
numeric value between 0 and 1. The quantile adjustment for zero values.
The default 0.1 means zeros on e are replaced by the 10 percent quantile of
the absolute residuals before taking the logarithm