GARCHModel: GARCH Model
In EventStudy: Event Study Analysis
GARCHModel R Documentation
GARCH Model
Description
Event study model using GARCH(1,1) for time-varying volatility estimation.
Uses the rugarch package to fit a GARCH(1,1) model with a market
return regressor in the mean equation during the estimation window.
Abnormal returns are computed as the difference between observed returns
and the GARCH conditional mean. The time-varying sigma from GARCH can
be used for standardized test statistics.
Super class
ModelBase -> GARCHModel
Public fields
model_nameName of the model.
garch_orderGARCH order as c(p, q). Default c(1,1).
Methods
Public methods
GARCHModel$fit()
Fit the GARCH model on the estimation window.
Usage
GARCHModel$fit(data_tbl)
Arguments
data_tblData frame or tibble with firm_returns,
index_returns, estimation_window, event_window columns.
GARCHModel$abnormal_returns()
Calculate abnormal returns from the GARCH model.
Usage
GARCHModel$abnormal_returns(data_tbl)
Arguments
data_tblData frame or tibble.
GARCHModel$clone()
The objects of this class are cloneable with this method.
Usage
GARCHModel$clone(deep = FALSE)
Arguments
deepWhether to make a deep clone.
See Also
Other eventstudy-models:
BHARModel,
Carhart4FactorModel,
ComparisonPeriodMeanAdjustedModel,
DCCGARCHModel,
FamaFrench3FactorModel,
FamaFrench5FactorModel,
LinearFactorModel,
LogReturn,
MarketAdjustedModel,
MarketModel,
ModelBase,
ReturnCalculation,
RollingWindowModel,
SimpleReturn,
VolatilityModel,
VolumeModel
EventStudy documentation built on Oct. 31, 2026, 1:07 a.m.
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| GARCHModel | R Documentation |
GARCH Model
Description
Event study model using GARCH(1,1) for time-varying volatility estimation. Uses the rugarch package to fit a GARCH(1,1) model with a market return regressor in the mean equation during the estimation window. Abnormal returns are computed as the difference between observed returns and the GARCH conditional mean. The time-varying sigma from GARCH can be used for standardized test statistics.
Super class
ModelBase -> GARCHModel
Public fields
model_nameName of the model.
garch_orderGARCH order as c(p, q). Default c(1,1).
Methods
Public methods
GARCHModel$fit()
Fit the GARCH model on the estimation window.
Usage
GARCHModel$fit(data_tbl)
Arguments
data_tblData frame or tibble with firm_returns, index_returns, estimation_window, event_window columns.
GARCHModel$abnormal_returns()
Calculate abnormal returns from the GARCH model.
Usage
GARCHModel$abnormal_returns(data_tbl)
Arguments
data_tblData frame or tibble.
GARCHModel$clone()
The objects of this class are cloneable with this method.
Usage
GARCHModel$clone(deep = FALSE)
Arguments
deepWhether to make a deep clone.
See Also
Other eventstudy-models:
BHARModel,
Carhart4FactorModel,
ComparisonPeriodMeanAdjustedModel,
DCCGARCHModel,
FamaFrench3FactorModel,
FamaFrench5FactorModel,
LinearFactorModel,
LogReturn,
MarketAdjustedModel,
MarketModel,
ModelBase,
ReturnCalculation,
RollingWindowModel,
SimpleReturn,
VolatilityModel,
VolumeModel
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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