qgarch_lr_test

Compares two fitted <code>qgarch</code> models using the likelihood ratio test.

Fits quadratic generalized autoregressive conditional
heteroskedasticity-in-mean (QGARCH-M) models motivated by Campbell and
Hentschel (1992). The package supports models with lambda fixed at zero,
lambda restricted to a function of the remaining parameters, lambda
estimated freely, and a threshold extension with state-dependent lambda.
It also provides tools for starting values, estimation, forecasting,
likelihood-ratio testing, moment diagnostics, and replication with the
included monthly U.S. stock market dataset.

Sanghyun Hong

qgarch

Quadratic GARCH-in-Mean Models for Volatility Feedback

Jedrzej Bialkowski

Moritz Wagner

qgarch_lr_test function

<dl><dt>restricted</dt>
<dd>A fitted <code>qgarch</code> object representing the restricted model.</dd>
<dt>unrestricted</dt>
<dd>A fitted <code>qgarch</code> object representing the unrestricted model.</dd>
<dt>df</dt>
<dd>Degrees of freedom for the test. If <code>NULL</code>, it is computed as the
difference in the number of estimated coefficients.</dd></dl>

Arguments

Likelihood ratio test for nested qgarch models — qgarch_lr_test

<dl>

<dt>restricted</dt>
<dd>A fitted <code>qgarch</code> object representing the restricted model.</dd>


<dt>unrestricted</dt>
<dd>A fitted <code>qgarch</code> object representing the unrestricted model.</dd>


<dt>df</dt>
<dd>Degrees of freedom for the test. If <code>NULL</code>, it is computed as the
difference in the number of estimated coefficients.</dd>

</dl>

qgarch_lr_test: Likelihood ratio test for nested qgarch models

Description

Usage

Value

Arguments