qgarch
Quadratic GARCH-in-Mean Models for Volatility Feedback
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.
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180
Last 30 days
23681st
384
Last 90 days
384
Last year
Trend: -11.8% (30d vs prior 30d)
0
Last 30 days
12
Last 90 days
12
Last year
Trend: -100% (30d vs prior 30d)
0
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1
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0
All-time
autoCRAN-only: this name is served only by autoCRAN, so the count is exact.
CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 8, 2026
NOTE 12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 7, 2026
CRAN incoming feasibility
Maintainer: ‘Sanghyun Hong <sanghyun.hong@canterbury.ac.nz>’ Problems when formatting CITATION entries: cannot open file '/tmp/Rtmpk5FooA/Rf37b00017f69281': No space left on device
OK 6 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE May 8, 2026
Code
Structure
Lines of code
2,068
Files
29
Compiled share
0%
Has compiled src
No
Language breakdown
API
Exported functions
4
Internal functions
36
Recent export changes
Testing & CI
Has tests
Yes
Test-to-code ratio
0.05
testthat edition
3
CI present
No
CI type
[]
PR gated
No
Docs
Return-value doc rate
100%
\dontrun example ratio
–
Roxygen coverage
100%
Has pkgdown
No
NEWS present
No
Health & Security signals
Informational signals; not verdicts.
on.exit coverage
–
Unsafe pattern score
0
Dep constraint coverage
0%
Secret pattern count
0
Bundled 3rd-party code
2 items
Portability & License
Min R version
4.1.0
System requirements
–
C++ standard
–
License
MIT + file LICENSE
License flags
SPDX valid, OSI approved
History
Versions
1
First release
2026-05-07
Latest release
2026-05-07
Avg cadence
–
Cold removal rate
–
Dep drift
0
Per-file churn detail lives in the source pipeline: https://github.com/r-observatory/cran-code-metrics.