R programs for "Quantile autoregressive conditional heteroscedasticity"

• 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")
  

• QGARCH_1.0.0.pdf: Reference manual for "QGARCH" package.

• 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.

• 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]