Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Provides a collection of functions to analyze and model heteroskedastic behavior in financial time series models.


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Reference manual

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install.packages("fGarch")

3042.83.1 by Tobias Setz, 6 months ago


https://www.rmetrics.org


Browse source code at https://github.com/cran/fGarch


Authors: Diethelm Wuertz [aut] , Tobias Setz [cre] , Yohan Chalabi [ctb] , Chris Boudt [ctb] , Pierre Chausse [ctb] , Michal Miklovac [ctb]


Documentation:   PDF Manual  


Task views: Empirical Finance, Time Series Analysis


GPL (>= 2) license


Imports fastICA, Matrix, graphics, methods, stats, utils

Depends on timeDate, timeSeries, fBasics

Suggests RUnit, tcltk


Imported by GEVStableGarch, GWEX, IndexConstruction, MTS, cvar, irtDemo, ludic, segMGarch.

Depended on by distrRmetrics, fExtremes, gogarch, mleur.

Suggested by AER, CLA, PortfolioAnalytics, caschrono, fPortfolio, ggfortify, portes, sarima, simsalapar.

Enhanced by stargazer, texreg.


See at CRAN