R programs for "Quantile autoregressive conditional heteroscedasticity"
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QGARCH_1.0.0.tar.gz: Source code for "QGARCH" package. Please use the following function to install "QGARCH" package from the local file.
install.packages("QGARCH_1.0.0.tar.gz", repos = NULL, type = "source")
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QGARCH_1.0.0.pdf: Reference manual for "QGARCH" package.
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Rcode_for_QGARCH.html: This file contains all outputs for real data analysis of Zhu et al. (2022+). Specifically, (1) Model estimation of the QGARCH model based on QR is presented; (2) The figure for coefficient function estimation at multiple quantile levels is provided; (3) To check constant persistence coefficient, the CvM tests are given at multiple quantile ranges; (4) Rolling forecasting and backtests are presented.
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Rcode_for_QGARCH.Rmd: Source code for 'Rcode_for_LDAR.html'.
Zhu, Q., Tan, S., ,Zheng, Y., and Li, G. (2022+) Quantile autoregressive conditional heteroscedasticity.
Name: Tan Songhua
Email: [email protected]