ARMA-GARCH/APARCH Models with GEV and Stable Distributions

Package for simulation and estimation of ARMA-GARCH/APARCH models with GEV and stable distributions.


Reference manual

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1.1 by Thiago Sousa, 4 years ago

Browse source code at

Authors: Thiago Sousa [aut, cre] , Cira Otiniano [ctb] , Silvia Lopes [ctb] , Diethelm Wuertz [ctb, cph]

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

Imports fGarch, fExtremes, stabledist, timeDate, timeSeries

Depends on Rsolnp, methods, skewt

Enhances stable

Imported by Wrapped.

See at CRAN