us_monthly

Monthly data used in examples and tests for the qgarch package.

datasets

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

us_monthly function

A data frame with monthly observations and 3 variables:<dl>
<dt>YearMon</dt>
<dd>Month of the observation.</dd><dt>Mktrf</dt>
<dd>Market excess return.</dd><dt>ER</dt>
<dd>Excess return series.</dd>
</dl>

Format

Monthly U.S. data — us_monthly

A data frame with monthly observations and 3 variables:<dl>
<dt>YearMon</dt>
<dd>Month of the observation.</dd>

<dt>Mktrf</dt>
<dd>Market excess return.</dd>

<dt>ER</dt>
<dd>Excess return series.</dd>


</dl>

us_monthly: Monthly U.S. data

Description

Usage

Arguments

Format