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qgarch  

Quadratic GARCH-in-Mean Models for Volatility Feedback
View on CRAN: Click here


Download and install qgarch package within the R console
Install from CRAN:
install.packages("qgarch")

Install from Github:
library("remotes")
install_github("cran/qgarch")

Install by package version:
library("remotes")
install_version("qgarch", "0.1.0")



Attach the package and use:
library("qgarch")
Maintained by
Sanghyun Hong
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-05-07
Latest Update: 2026-05-07
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.
How to cite:
Sanghyun Hong (2026). qgarch: Quadratic GARCH-in-Mean Models for Volatility Feedback. R package version 0.1.0, https://cran.r-project.org/web/packages/qgarch. Accessed 05 Oct. 2026.
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