garchM: Estimation of a Gaussian GARCH-in-Mean with GARCH(1,1) model.

garchMR Documentation

Estimation of a Gaussian GARCH-in-Mean with GARCH(1,1) model.

Description

Estimation of a Gaussian GARCH-in-Mean with GARCH(1,1) model.

Usage

garchM(rtn, type = 1)

Arguments

rtn

Time series variable.

type

1 for Variance-in-mean, 2 for volatility-in-mean, and 3 for log(variance)-in-mean.

Value

GARCH-M results.


KevinKotze/tsm documentation built on Oct. 6, 2022, 12:22 a.m.