Package: qgarch
Type: Package
Title: Quadratic GARCH-in-Mean Models for Volatility Feedback
Version: 0.1.0
Authors@R: c(
    person(
        given = "Jedrzej",
        family = "Bialkowski",
        email = "jedrzej.bialkowski@canterbury.ac.nz",
        role = "aut"
    ),
    person(
        given = "Sanghyun",
        family = "Hong",
        email = "sanghyun.hong@canterbury.ac.nz",
        role = c("aut", "cre")
    ),
    person(
        given = "Moritz",
        family = "Wagner",
        email = "moritz.wagner@canterbury.ac.nz",
        role = "aut"
    )
  )
Description: 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.
License: MIT + file LICENSE
Encoding: UTF-8
Depends: R (>= 4.1.0)
Imports: MASS
Suggests: testthat (>= 3.0.0)
LazyData: true
URL: https://github.com/sho-125/qgarch
BugReports: https://github.com/sho-125/qgarch/issues
Config/testthat/edition: 3
Config/roxygen2/version: 8.0.0
NeedsCompilation: no
Packaged: 2026-05-05 03:06:02 UTC; sho125
Author: Jedrzej Bialkowski [aut],
  Sanghyun Hong [aut, cre],
  Moritz Wagner [aut]
Maintainer: Sanghyun Hong <sanghyun.hong@canterbury.ac.nz>
Repository: CRAN
Date/Publication: 2026-05-07 16:41:03 UTC
Built: R 4.6.0; ; 2026-05-07 17:08:06 UTC; unix
