Description Usage Arguments Value Author(s) See Also
Creates the regressors of a log-ARCH-X model, see sm
and gets.vol
1 2 |
e |
numeric vector, time-series or zoo object. Note that missing values in the beginning or at the end of the series is allowed, as they are removed with the na.trim command from the zoo package |
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-volatility specification |
asym |
integer vector, say, c(1) or 1:3. The asymmetry or leverage terms to include in the log-volatility 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. |
vx |
numeric matrix, time-series or zoo object of conditioning covariates. Note that missing values in the beginning or at the end of the series is allowed, as they are removed with the na.trim command from the zoo package |
p |
numeric value greater than zero. The power of the log-volatility specification. |
zero.adj |
numeric value between 0 and 1. The quantile adjustment for zero values. The default 0.1 means that the zero residuals are replaced by means of the 10 percent quantile of the absolute residuals before taking the logarithm |
Matrix with regressors
Genaro Sucarrat (http://www.sucarrat.net/)
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